Actuarial Notes

Chapter 12 of Quantitative Enterprise Risk Management

By Mary R. Hardy and David Saunders · Cambridge University Press · 2022 · INV101-107-26

Study guide: Exam INV-101

Credit Risk, the twelfth chapter of Quantitative Enterprise Risk Management by Mary R. Hardy and David Saunders, studies mathematical models for credit risk. It begins with an overview of credit-sensitive instruments and the types of credit risk faced by financial market participants, then covers the three key components of mathematical credit risk models: probability of default, loss given default and exposure at default. The SOA supplies the chapter as study note INV101-107-26.

On the syllabus

  • Exam INV-101 — INV101-107-26, Chapter 12 of Quantitative Enterprise Risk Management, 2022 (outcome 3c)

12 Credit Risk

  • 12.1 Summary
  • 12.2 Types of Credit Risk
  • 12.3 Basic Credit Model Components
  • 12.4 Modelling Individual Default Behaviour
  • 12.5 Portfolio Credit Risk Models
  • 12.6 Notes and Further Reading
  • 12.7 Exercises

Related readings

  • Quantitative Enterprise Risk Management (Hardy - 2022) — the book this chapter is taken from

Sources