In the paper methodology of managing credit risk by CreditMetrics methodology is discussed. Analytical and simulation approaches are described. Ways of analysis are explained by marginal risk, economic capital etc. Illustrative example of bond portfolio is presented.
In the paper methodology of managing credit risk by CreditMetrics methodology is discussed. Analytical and simulation approaches are described. Ways of analysis are explained by marginal risk, economic capital etc. Illustrative example of bond portfolio is presented. (en)