Credit Risk Measurement: An Introduction

This tutorial explains the various measures that enable banks and other institutions to estimate or measure the level of credit risk to which they are exposed. These measures include absolute currency amounts for products such as term loans and estimated currency amounts for products where credit risk varies due to market price/rate movements, in addition to risk-weighted assets (RWAs) and measures of expected loss (EL). The tutorial also outlines some of the limitations and complexities associated with these credit risk measures.