BMGT 445 lecture 6

BMGT 445 lecture 6 - BMGT445 ProfessorEthanCohenCole

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Click to edit Master subtitle style 3/1/11 BMGT 445 Professor Ethan Cohen-Cole Lecture 6
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3/1/11 Credit Risk Individual Loans Pricing loans and bonds Setting limits on credit risk exposure Credit Risk Credit Risk for individual loans How to price a loan How to set limits on
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3/1/11 Credit Risk Individual Loans Pricing loans and bonds Setting limits on credit risk exposure What is a credit rating?
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3/1/11 Credit Risk Individual Loans Pricing loans and bonds Setting limits on credit risk exposure Credit Ratings: Measure of expected probability of default Look at history of payments
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3/1/11 Credit Risk Individual Loans Pricing loans and bonds Setting limits on credit risk exposure Credit scoring models: Now, given observed X = + = n j j i j i X PD 1 , error β
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3/1/11 Credit Risk Individual Loans Pricing loans and bonds Setting limits on credit risk exposure Default A defined time period of non-payment Typically 90 days.
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3/1/11 Credit Risk Individual Loans Pricing loans and bonds Setting limits on credit risk exposure
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BMGT 445 lecture 6 - BMGT445 ProfessorEthanCohenCole

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