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CreditMetrics Technical Document
Company: RiskMetrics Group
Company Url: Click here to open
Year Of Publication: 1997
Month Of Publication: April
Pages: 212
Download Count: 1208
View Count: 8406
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 11-11-2003
Publisher: Administrator
This Technical Document describes CreditMetrics?, a framework for quantifying credit risk in portfolios of traditional credit products (loans, commitments to lend, financial letters of credit), fixed income instruments, and market-driven instruments subject to counterparty default (swaps, forwards, etc.). This is the first edition of what we intend will be an ongoingrefinement of credit risk methodologies.
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