Compendium of Credit Risk Resources

This compendium summarizes the various aspects of credit risk that are important to insurance companies in general, namely corporate credit risk (single and multi-name), typical credit-sensitive securities, credit risk for individuals (including mortgage insurance), municipal credit risk, sovereign credit risk, counterparty risk, and regulatory and enterprise risk management. The document also includes considerations for property and casualty insurers and about their practices. Finally, we also list and link to important resources for practitioners and graduate students.

Keywords: Capital allocation, Capital requirements, ALM, solvency analysis, Analyzing/Quantifying risks, Financial Risks Rating agencies, Risk-based capital, Solvency, Asset and econometric modeling, Asset classes (ABS, Corporate bonds, Equities, MBS, Municipal bonds), Risk Management