presentation - integrating market risk and credit risk all ,
i will be giving a 40 min presentation on the above topic at the eprm energy
2000 conference in april . the bulletpoints are :
balancing market risk and credit risk to achieve a reliable estimation of
total risk
incorporating market risk into a credit risk model
calculating probability of default using credit risk and market risk
refining business practice to reflect credit risk and market risk evaluations
my proposed approach is to quickly step through the practical process of
modelling credit risk , resulting in measures for expected loss and
credit - var ; then show how default probs can be calculated using bond and
equity data . finally i ' ll describe how credit risk can be mitigated using
credit derivatives - plugging enroncredit . com of course .
any other ideas for broad topics and / or specific points to mention will be
appreciated . the presentation has to be submitted next week .
many thanks ,
ben
presentation - integrating market risk and credit risk
all ,
i will be giving a 40 min presentation on the above topic at the eprm energy
2000 conference in april . the bulletpoints are :
balancing market risk and credit risk to achieve a reliable estimation of
total risk
incorporating market risk into a credit risk model
calculating probability of default using credit risk and market risk
refining business practice to reflect credit risk and market risk evaluations
my proposed approach is to quickly step through the practical process of
modelling credit risk , resulting in measures for expected loss and
credit - var ; then show how default probs can be calculated using bond and
equity data . finally i ' ll describe how credit risk can be mitigated using
credit derivatives - plugging enroncredit . com of course .
any other ideas for broad topics and / or specific points to mention will be
appreciated . the presentation has to be submitted next week .
many thanks ,
ben