Credit risk modelling - an introduction

I've created this video to introduce a new series I'll be doing on the subject of credit risk modelling. Future videos will cover various credit risk modelling techniques (GLMs, discriminant analysis, kNN, etc); but in this one, I give a high-level overview of the various types of models, and define what is meant by credit risk.

[@nnamdiodozi7713]

Thanks for this video. Where do Intensity models fall under Quantitative Counterparty risk models? Are they under Parametric?

[@PaulSweeting]

Probably another branch on the tree! I take parametric to mean based on a firm's characteristics, whereas I'd take intensity models to be driven by external factors. But the classification isn't the most important thing - it's mainly to help me organise my thoughts...

[@Bhupi_Journey]

I am here to learn credit risk