Lehman Brothers
risk management integrated framework credit risk measures the potential loss the firm can suffer due to forward settlements financing and derivative transactions with its customers the measurement is a three step process measure the potential exposure of all transactions over the appropriate time horizon assign each a probability of default based on its internal credit rating and a recovery rate based its internal facility rating run these inputs through the model to create a cumulative joint probability distribution from which we cut a tail | Lehman Brothers
Company
Deck Type
Deck date
August 2007
Slide
28 of 65
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