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Credit risk

Table of contents

Credit rating agencies

Credit scoring

Advanced IRB

Altman Z-score

Bond credit rating

Chan–Karolyi–Longstaff–Sanders process

Concentration risk

Constant maturity credit default swap

Consumer credit risk

Contingent convertible bond

Credit-linked note

Credit analysis

Credit conversion factor

Credit default option

Credit default swap

Credit derivative

Credit event

Credit reference

Default (finance)

Expected loss

Exposure at default

FASB 133

Foundation IRB

High-yield debt

IAS 39

IFRS 9

ITraxx

Impairment (financial reporting)

Infection ratio

Internal ratings-based approach (credit risk)

Jarrow–Turnbull model

Loan credit default swap index

Loss given default

Margin (finance)

Margin at risk

Margining risk

Merton model

Ohlson O-score

PAUG

Probability of default

Recovery swap

Redlining

Refinancing risk

Risk-weighted asset

Securitization

Standardized approach (counterparty credit risk)

Standardized approach (credit risk)

Swap spread

The Journal of Credit Risk

Total return swap

Wrong way risk

XVA

Yield spread

Z-spread

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