Credit Risk Modelling: The Probability of Default

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In this video, we will focus on the probability of default, one of the key measure of credit risk, introducing different ways to estimate it.

0:14 What is the Probability of Default?
0:41 Factors Influencing the Probability of Default
1:26 How to Assess the Probability of Default
2:08 Credit Rating
3:25 Credit Score and Altman Z-Score
4:25 Logistic Regressions, Statistical and Machine Learning Models
5:31 Default Models
5:52 Structural Models, Merton Model
6:34 Reduced-Form Models
7:17 Market Implied Default Probability

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