Summary
In this chapter, we briefly introduced some of the most common methods related to credit risk modeling. However, there are several industrial approaches for handling default risk. The bases of the advanced methods are usually some of the structural and intensity-based approaches. Copula models are still popular for modeling the risk of credit portfolios, especially in the pricing of structured credit derivatives. There are comprehensive and strong R packages for modeling copulas. The first step to model downgrade risk is knowledge about the principles of managing migration matrices and the CreditMetrics approach. Finally, we briefly outlined the possibilities of credit scoring in R.
Get Introduction to R for Quantitative Finance now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
