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Chapter 18: Introduction to Credit Risk Analysis

In this section

  • Expected Exposure, LGD, and Probability of Default
    Learn how to quantify credit risk through Expected Exposure, Loss Given Default, and Probability of Default, and discover their significance in advanced fixed income analysis.
  • Credit Ratings vs. Credit Scores
    Explore the distinctions between institutional credit ratings and individual credit scores, how each is determined, and the significance for investors and portfolio managers.
  • Determining Recovery Rates
    Explore how recovery rates drive loss-given-default calculations, with insights into seniority, collateral, and real-world challenges affecting credit risk analysis.
  • Item Set: Loss Given Default Calculation
    Explore the calculation of Loss Given Default (LGD) in a vignette-style format, including advanced recovery scenarios, partial collateral, seniority structures, and practical credit risk modeling techniques for the CFA® 2025 Level II exam.
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Chapter 17: Collateralized Debt Obligations (CDOs)
Chapter 19: Structural Credit Risk Models