Measuring and managing market, credit and Op risk [55]

Go to: Summary | Previous | Next   
Bullet points include: Need to estimate the kj,t processes for each exposure E.g. volatilities, drift terms and correlations between different Brownian motions Determine cut-off points, kj, for each exposure Simulate vector of correlated kj,t processes up to horizon Value debt conditional on the levels kj,T have attained at horizon, T (with refinement if deemed defaulted in meantime) Sum exposure values conditional on these levels Repeat many times to build up estimate of portfolio value distribution

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile