Credit Risk: An Introduction

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In this video, we will give an introduction to credit risk, presenting the main types, the key components and measures of credit risk, discussing the different factors influencing it and ways to manage it.

0:00 Introduction
0:18 Credit Risk, What is it?
0:30 Credit Risk on a Debt
1:01 Counterparty Credit Risk on a Derivatives
1:27 Types of Credit Risk
1:35 Individual Credit Risks: Default Risk, Exposure at Risk, Recovery Risk, Downgrade Risk, Spread Risk
2:34 Portfolio Credit Risks: Concentration Risk, Country Risk, Sector Risk, Correlation Risk, Systemic Risk
3:30 Probability of Default
3:44 Exposure at Default
4:24 Loss Given Default
4:46 Expected Loss
5:22 Unexpected Loss
5:52 Rating
6:08 Rating Transition Matrices
6:41 Rating Agencies
6:49 Credit Spread Risk
7:25 Credit Risk Provisions and Capital
8:00 Credit Risk Management

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