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Credit Risk (Credit risks and creditderivatives (Credit derivatives (CDS…

- - - - 只有一方存在 lending risk
    - - Netting
      - Collateral
      - Other contractual clause
      - Central counterparty
    - - Interest rate
        FX
        credit derivTive
        Equity
        Commodity
- - - - Rehypothecation
- - - - PD
- - - - WCL-EL
        
        Worst case lose 按分布计算（百题6）
- - - - Parities(like rating underwriter etc.)
  - - - role of correelation
        
        genarate default time matrix
- - - - Bilateral compression
      - Standardization
- - - - Margin 关注交易本身的风险
        
        Initial
        
        Variation margin
      - loss waterfall
    - - Correlation effect
        负相关净额结算效果最好
      - netting effect
  - - - 实物与现金交割
      - nth default
- - - - currentexposure价值为正才有风险
      - expected exposure关键时点的预期
        
        取分布正的部分
      - Expected positive exposure 整个时期的平均水平时段
      - effective 系列是非递减的
  - - - 贷款
      - derivitive
- - - - willing
      - ability
    - - skill
        一手
        二手