l2 45 credit analysis models

This class was created by Brainscape user Steven Popovic. Visit their profile to learn more about the creator.

Decks in this class (9)

a explain probability of default, loss given default, expected loss, and present value of the expected loss, and describe the relative importance of each across the credit spectrum;
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b explain credit scoring and credit ratings, including why they are called ordinal rankings;
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c explain strengths and weaknesses of credit ratings;
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d explain structural models of corporate credit risk, including why equity can be viewed as a call option on the company’s assets;
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e explain reduced form models of corporate credit risk, including why debt can be valued as the expected discounted cash flows after adjusting for risk;
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f explain assumptions, strengths, and weaknesses of both structural and reduced form models of corporate credit risk;
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g explain the determinants of the term structure of credit spreads;
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h calculate and interpret the present value of the expected loss on a bond over a given time horizon;
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i compare the credit analysis required for asset-backed securities with analysis of corporate debt.
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l2 45 credit analysis models

  • Class purpose General learning

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