A beginner’s guide to credit risk modeling
Source: Digital Vidya
In y Anukrati Mehta’s contribution to Digital Vidya, the author explores both the definitions of credit risk and credit risk modeling, the different types of credit risk, the factors that affect credit risk modeling, and the types of credit risk models.
She notes that the factors affecting credit risk modeling include the probability of default, the loss given default, and the exposure at default.
Finally she reviews the three major types of credit risk rating models: those based on financial statements, those that measure default probability, and those that leverage big data analytics.