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Modeling Credit Risk...

 
 
 Here's a link to a presentation I gave back in August on modeling credit risk.  If anyone would like a copy of the slides, go ahead and drop me a line...

https://www.gotostage.com/channel/39b3bd2dd467480a8200e7468c765143/recording/37684fe4e655449f9b473ec796241567/watch  

 

Timeline of the presentation:

  • Presentation Begins:                                                                0:58:00
  • Logistic Regression:                                                                1:02:00
  • Recent Trends in Probabilities of Default:                              1:10:20
  • Machine Learning:                                                                  1:15:00
  • Merton Structural Model:                                                        1:19:30
  • Stochastic Asset Simulation Model:                                        1:27:30
  • T-Year Merton Model:                                                             1:34:30
  • Calculating Implied Yields:                                                     1:38:20
  • Portfolio Credit Risk:                                                               1:39:30
  • Asset Valuation Approach:                                                      1:48:15
  • Simulating the Asset Valuation Approach:                              1:51:10
  • Simulating Portfolio Risk:                                                       2:00:00
  • Modeling the Performance of a Custom Benchmark:             2:22:30
  • Discussion:                                                                               2:31:30

 

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