Credit Risk Actuarial Science

Our credit risk actuarial science experts use credit risk measurement and management techniques in order to estimate expected and unexpected loss, structure credit products such as collateralized debt obligations and credit derivatives, measure default risk using methodologies such as Credit VaR, and price credit counterparty risk

 

  • Synthetic Credit Rating

  • Measuring Expected and Unexpected Losses

  • Structured Finance and Securitization

  • Modeling Country and Sovereign Risk

  • Mitigating and Pricing Counterparty Credit Risk (CVA and DVA)

  • Measuring Default Risk (Estimating Defaults and Recoveries from Market Prices and Spreads)

  • Estimating Credit VaR