We estimate a Pareto distribution for loan losses, as an alternative to the commonly used Vasicek distribution, using simulated data. A key assumption in the construction of Vasicek distribution is that firm-level risk is idiosyncratic. It also assumes that firm exposure to systemic risk is...

We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), DVA Hedging, Closeout conventions,...

Part I. The Criteria-based Approach to Credit Assessment and Crdit Rating -- Chapter 1. Credit Analysis and Credit Management -- Chapter 2. Financial Statement Analysis -- Chapter 3. The Criteria-based Approach to Credit Assessment and Credit Risk Rating -- Chapter 4. The Building Blocks of...