Please enable JavaScript.
Coggle requires JavaScript to display documents.
Quantitative Finance: Default Payment - Coggle Diagram
Quantitative Finance: Default Payment
Basel Guidelines Assumptions
Asymptotic Single Risk Factor
Granularity
Concentration Risk
Name
Sectoral
If Breached, Capital calculated by prudential guidelines understated
Name risk breaches granularity assumption
Sector Concentration
ASFR model
HHI formula
Expected Loss
2 Importance forecasting Expected loss
Future issue---problem loans--capital side
Divide to now issue and future issue
EL=PD x LGD x EAD
Probability Of Default
Stress Testing
P(d)= f(if,ne)
LDG
Type of Loan
Seniority
Collateral
Term
Seniority of Mortgage
Prepayment Risk
MPR=(RI) x (SM) x (MM) x (B)