CREDIT RISK MODELING                                                                                                 

My interest in credit risk modeling is due to the fact that it is a wide-open field for applications of probability theory and stochastic processes as well as statistical techniques. Keywords include:

1. • Rating Systems
   

2. • Loss Given Default
   

3. • Exposure at Default
   

4. • Potential Exposure for counterparty credit risk
   

5. • Expected Loss
   

6. • Economic Capital
   

7. • Regulatory Capital
   

8. • Default Probabilities and corresponding term structures
   

9. • Structured credit and credit derivatives
   

10. • Collateralized (securities-based) lending
    

11. • Credit spreads and risk-adjusted pricing
    

If one tries to integrate some of the most common quantities arising in credit risk modeling into one single chart, the illustration below is a possible outcome.