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Modeling Probability of Default and Credit Limits
Published on Nov 15, 20161382 Views
Creditors carry the risk of their clients not meeting their debt obligations. In the literature, these events are often referred to as default events. These can be modeled for each company through
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Chapter list
Modeling Probability of Default and Credit Limits00:00
Introduction00:12
Outline01:21
Data01:50
PD model03:05
Challenge03:27
Weight of Evidence - 104:21
Weight of Evidence - 205:10
Weight of Evidence - 306:05
Results - 106:19
Results - 207:19
Credit limits model - 110:44
Credit limits model - 210:49
Relative amount of approved credit12:35
CVaR13:15
Margin increased by factor 1013:57
Lower bound14:27
Conclusion and future work14:41