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Which of the following is true of Creditmetrics when it is used to calculate credit VaR Question 14 options: 1) Creditmetrics takes defaults but not
Which of the following is true of Creditmetrics when it is used to calculate credit VaR
Question 14 options:
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| 1) | Creditmetrics takes defaults but not downgrades into account |
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| 2) | Creditmetrics takes downgrades but not defaults into account |
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| 3) | Creditmetrics considers neither defaults nor downgrades |
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| 4) | Creditmetrics considers both defaults and downgrades |
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Innovation And Finance
Authors: Andreas Pyka, Hans-Peter Burghof
1st Edition
0415696852, 978-0415696852
