How does the merton model explain migration risks

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Reference no: EM13924918

1. Explain how the Portfolio PD is calculated.

2. Explain migration risk. How does the Merton Model explain migration risks?

3. How would you compute economic capital for a credit portfolio?

4. Explain PD, LGD, and EAD. How are they related to the expected loss of a credit asset? Also explain the factors influencing PD and LGD.

5. Obtain the audited and detailed annual reports of banks listed in stock markets. Examine and identify the credit portfolio risks and the steps taken by them to mitigate the risks.

Reference no: EM13924918

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