• Modern Quantification of Credit Risk

  • Oct 19 2020
  • Length: 31 mins
  • Podcast

Modern Quantification of Credit Risk

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  • Summary

  • Join our hosts and Moody’s Analytics Global Head of Quantitative Research Dr. Jing Zhang as they take on modern portfolio theory and the quantification of credit risk. Highlights include a review of Harry Markowitz’s paper “Portfolio Selection” and a discussion about new drivers in credit analytics such as climate risk. 

    Read more about our guest:

    Dr. Jing Zhang, Global Head of Quantitative Research, Moody's Analytics

    This episode makes reference to the following works: 

    "Portfolio Selection" by Harry Markowitz, published in the Journal of Finance, 1952. 
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