Measuring and managing market, credit and Op risk [56]

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Bullet points include: For example: Estimate standard deviation of log differenced equity values log(Xt+1/Xt) Derive underlying volatility of kj,t bearing in mind that it is ratio of Vj,t to Dj,t Having estimated parameters for each firm’s equity-debt ratio, derive time series kj,t for each firm Using log differences of kj,t estimate correlation matrix between firms Simulate and repeat many times as per Monte Carlo

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