O'Reilly logo

Introduction to R for Quantitative Finance by Zsolt Tulassay, Dr. Kata Váradi, Péter Csóka, Michael Puhle, Márton Michaletzky, Gergely Daróczi, Dr. Edina Berlinger, Daniel Havran, Agnes Vidovics-Dancs

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 7. Credit Risk Management

This chapter introduces some useful tools for credit risk management. Credit risk is the distribution of the financial losses due to unexpected changes in the credit quality of a counterparty in a financial agreement (Giesecke 2004). Several tools and industrial solutions were developed for managing credit risk. In accordance with the literature, one may consider credit risk as the default risk, downgrade risk, or counterparty risk. In most cases, the default risk is related directly to the risk of non-performance of a claim or credit. In contrast, downgrade risk arises when the price of a bond declines due to its worsening credit rating without any realized credit event. Counterparty risk means the risk when ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required