Structural Vs Reduced Form Models of Credit Risk (CFA Level 2, FRM Part 2, Book 2, Credit Risk)
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- Опубликовано: 25 июл 2021
- In this video from the FRM Part 2 curriculum, we explore the differences between two broad categories of credit risk models: Structural Models and Reduced Form Models. We take a look at how each of these type of models work and their respective pros and cons. For more videos on FRM Part 2 preparations, please visit the course page: www.finRGB.com/courses/frm-pa....
FRM Learning Objective: Distinguish between the structural approaches and the reduced-form approaches to predicting default.
Great explanation! Thanks a lot…
How about the empirical model of credit risk (Altman Z score), do you have any information about it? Thank you for your videos
Sure, will do a separate video on the Altman's model.