This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS),...

Under the Basel II advanced Irb (Internal Ratings Based) approach, banks are encouraged to provide internal estimates for all of the risky parameters determining the minimum regulatory capital. While the Pd and Lgd estimation issue has recently attracted a lot of attention by the credit risk...