Nematrian
/


Credit Risk [30]

Go to: Summary | Previous | Next   
Bullet points include: Statistical implementation can be more or less ‘pure’. Although commercial implementations not usually very pure! 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

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile