Measuring and managing market, credit and Op risk [9]

Go to: Summary | Previous | Next   
Bullet points include: Very large number of possible approaches / models Equity-land risk models often focus more on Brownian motion Bond-land risk models often focus more on jumps Are portfolios of equities / bonds / both / other asset and liability types better characterised as diversified (multi-factor) exposures or concentrations primarily to single factors? Variants often derive from desire to maximise use of available information E.g. ratings based credit risk modelling include elements relating to instrument credit rating (and assumed rating migration behaviour), as rating ascribed to an instrument is (usually) assumed to add information

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile