Credit Metrics-Technical Document

ebdl

Credit Metrics-Technical Document

来自：MACD论坛(bbs.macd.cn) 作者：ebdl 浏览：2090 回复：5

Credit Metrics-Technical Document

价值投资理论

This is the reference document for CreditMetrics™. It is meant to serve as an introduction
to the methodology and mathematics behind statistical credit risk estimation, as well
as a detailed documentation of the analytics that generate the data set we provide.

This document reviews:

• the conceptual framework of our methodologies for estimating credit risk;

• the description of the obligors’ credit quality characteristics, their statistical description
and associated statistical models;

• the description of credit exposure types across “market-driven” instruments and the
more traditional corporate finance credit products; and

• the data set that we update periodically and provide to the market for free.



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jeff11

thanks all

lichenex

thanks

Scafell

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yiwanyii

so generous