Credit Risk 4 – Comparing Credit Capital Models

Course Overview

This iRiskWebinar on credit capital models compares some of the existing commercially available models for credit portfolio analysis and management. It will analyze and compare the approach followed by KMV-Moody’s Portfolio ManagerT, The RiskMetrics Group’s CreditManagerT, Algorithmics Credit Economic Capital (ACEC) and Credit Suisse CreditRisk+T. It will also explore the relationship between these credit capital models and Basel II calculations.