Objective: Create and validate classification models for credit ratings and credit scores based on historical data.

• Classifying credit ratings from historical data
• Analyzing and validating credit classification models
• Creating and assessing credit scoring models
• Determining probability of default

Objective: Evaluate and assess market implied risk and the Basel granularity assumptions on a bond portfolio

• Evaluating portfolio concentration
• Fitting zero curves to market data
• Estimating recovery rate distributions
• Finding fixed income cashflows
• Bootstrapping probability of default

Objective: Calculate capital requirements under Basel for a bond portfolio using the ASRF model and structural models of default probability.

• Discounting cashflows
• Estimating default probability with the Merton model
• Calculating capital requirements with the ASRF model

Objective: Calculate expected loss, value-at-risk and conditional value-at-risk on a portfolio of bonds by incorporating copula correlated transitions events.

• Pricing bonds under yield shifts
• Estimating transition probabilities
• Simulating transition events
• Implementing correlated credit migrations