Creating and validating risk models [10]

Go to: Summary | Previous | Next   
Bullet points include: E.g. Harfush-Pardo-Lamb-Perraudin simulate ordered probit (CreditMetrics style) analysis but with refined spread risk modelling 150 bonds spread over range of rating categories and maturities, with and without stochastic spreads and with/without spread shocks including mixture with fat tails Spreads Annual Constant Mean value (Eur) Volatility (Eur) Skewness Kurtosis VaR (97%) (Eur) Constant Stochastic Stochastic mixture

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile