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
- Quantitative Enterprise Risk Management (Cambridge University Press, 2022), table of contents — the heading of Chapter 12 and its section headings (the contents list no deeper level)
- Quantitative Enterprise Risk Management (Cambridge University Press, 2022), front matter — the authors, the ISBN 978-1-009-09846-5, and the preface's summary of Chapter 12 used for the lead; the SOA's own reprint of the chapter (study note INV101-107-26, sold through the SOA store) could not be read, so this page describes the chapter as the book prints it
- SOA INV 101 Introductory Study Note, Nov 2026/Mar 2027/Jul 2027 — the study-note code INV101-107-26, its title and its former code QFIP-157-23
- SOA INV 101 Syllabus, Nov 2026/Mar 2027/Jul 2027 — the citation (Hardy, Mary and Saunders, David, 2022) and the outcome the chapter serves