Credit risk models measure the market risk of a portfolio whose value may decline due to adverse movements in interest rates,stock prices,currency values,or commodity prices.

Question

Quizplus · Accepted Answer

Credit risk models actually measure the risk of default on loans or bonds held in a portfolio, rather than market risk. They take into account factors such as the creditworthiness of borrowers, economic conditions, and other relevant factors that may impact a borrower's ability to repay their debts.

Credit Risk Models Measure the Market Risk of a Portfolio