FRM: CreditMetrics - Part 1
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- Опубликовано: 4 окт 2024
- A review of the method used in the first building block of CreditMetrics, a ratings-based credit risk portfolio model. You can find the spreadsheet here: trtl.bz/2si88RS. For more financial risk videos, visit our website! www.bionicturtl...
tho intuitively it is contradictory, it can happen, the transition matrix is supposed to be based on the past history of credit migration.. CCC to AAA 0.22 need not result on AAA to CCC 0.22, tho one can argue that the chances of BBB to AAA should be higher than ( in this case it is 0.02) and CCC to AAA, but this again a hypothetical transition matrix...
(CCC, AAA)= 0.22% and (CCC,AA)=0.00%. Anybody see the conflict here? I want to hear an explaination
Data provided in the video is not correct.
Why do you need to add the first coupon payment ( that is not discounted)? When u calculate present value of a bond, don't u always start from one period after?
thank you I got it!
and how did you calculate the one-year transition matrix?
I think it is given, but how to get the value of one-year credit rating😭😭
Hi did you upload the exel file for this video (CreditMetrics)? I realy need it and I could not find it.
Hello! Here is the XLS for this video: trtl.bz/2si88RS. I've also added it to the description above. Thank you for watching!
where you get the forward rates from?
Im wondering that too, how can i calculate that pleasee