In this training, a specialist from the vendor which provides the tool for evaluating credit risk, named Credit Manager.
Within this training, I have learnt about the basic but intuitive explanation on credit risk. The Mean Horizon Value and the Percentiled Horizon Value is the key idea. Simply saying, the difference of these two is the credit risk. And the Percentiled Horizon Value is calculated by conducting Monte Carlo Simulation, legacy method for simulation, using random seeds.
Having today's training, I realized that the mechanism of the Credit Manager is absolutely simple, but utilizing the entire function and verify the result is extremely difficult.
Meanwhile, the specialist have also explained about the sophisticated evaluation method for the credit risk, based on the Barra Model. With this model, we can identify the factors which impact to credit risk intuitively, and this method adopt the multiple variable regression analysis. The vendor updates the coefficients, which was calculated as the answer of the regression formulae, daily. This idea is very simple, but needs some important assumptions, such as the factors, how to select them. Even there are many suspicious, ambiguous, and uncommon assumptions with the method, this seems to be very interesting.
Anyway, I got to know about the credit risk a bit. I'd like to learn more about it and stochastic verification of credit risks.
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