Which of the following is true of Creditmetrics when it is used to calculate credit VaR Creditmetrics

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Which of the following is true of Creditmetrics when it is used to calculate credit VaR

Creditmetrics considers neither defaults nor downgrades

Creditmetrics takes downgrades but not defaults into account

None of the choices

Creditmetrics takes defaults but not downgrades into account

Posted Date: Jun 05, 2024 01:08 PM

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Which of the following is true of Creditmetrics when it is used to calculate credit VaR Creditmetrics

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