Bugár Gyöngyi

Market and Credit Risk Management

KMV

A ‘weakness’ of the CreditMetrics risk measurement system described above is that it relies on historical average empirical values to estimate migration probabilities that reflect changes in credit ratings. The model used is based on two critical assumptions. One assumption is that the probability of default is the same for all borrowers with the same credit rating. The other assumption, which is highly questionable, is that the current default probability in the model is equal to the historical empirical average. This is also true for migration probabilities in general. In other words, the change in the credit rating in the model is the same as the change in the credit quality, and the credit rating and the default probability can be associated as equivalents.1

Tartalomjegyzék

Kiadó: Akadémiai Kiadó

Online megjelenés éve: 2023

ISBN: 978 963 454 857 7

Gazdaság

International credit crunch, Mexican peso crisis, Asian crisis, sub-prime mortgage crisis... It is enough to think back to the financial crises of the last few decades to see why risk management is essential in the economy. This book will introduce the reader to the basics of financial risk management and the tools for managing market and credit risk. However, the book is not only for those who are starting to be familiar with risk management. Its middle section, where the author describes the various risk indicators and measures, should also provide interesting information for professionals. Particularly commendable that Gyöngyi Bugár guiding us with thematically structured practical examples through this dynamically evolving field.

Bálint Zsoldos - Credit risk analyst of an international investment bank

Hivatkozás: https://mersz.hu/bugar-market-and-credit-risk-management//

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