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getting to know the new definition of default

Andrea Cirillo

The greatest part of my time at working is spent looking at those great piece of statistical machinery that credit risk models are. That is why I was recently required to prepare a short course about the new definition of default, which is goign to be applied from 01/01/2021 on.

It is quite a unexplored topic in the sector and I haven’t found a lot of teaching material online, that is why I tought to share here the brief deck of slide I produced for the occasion. Enjoy and feel free to comment.

New Definition of Default from Andrea Cirillo
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