Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We … for banks to systematically identify regional and industrial credit concentrations and reduce the detected concentrations … through diversification. In recent years, the development of markets for credit securitization and credit derivatives has …

credit derivative positions. They can, for example, buy default protection on selected borrowers, or diversify the portfolio … by selling protection on other names. The design of suitable credit derivative positions and the estimation of risk … capital reserves supporting a portfolio of loans and credit derivatives requires the computation of the probability …

-- 3. Credit Models for Single Names -- 3.1. Example: Term structure of a single credit -- 3.2. Extensions -- 4. Portfolio … Credit Models -- 5. Calibration and Model Comparison -- 6. Parameter Risks and Hedging -- 6.1. Case study: Auto crisis May …. Calibration Inputs and Outputs -- Stochastic Intensity Modeling for Structured Credit Exotics A. Chapovsky, A. Rennie and P …