Correlation Structure and Application In Incremental Risk Charge - Tapa blanda

Hoa, Ngo

 
9783659694936: Correlation Structure and Application In Incremental Risk Charge
Tapa blanda
ISBN 10: 3659694932 ISBN 13: 9783659694936
Editorial: LAP LAMBERT Academic Publishing, 2017

Sinopsis

Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC). After we figure out model construction with correlation structure, we will simulate the migration of issuers in trading book portfolio. Then we will simulate the rating of issuers at the over roll time depend on Basel requirements. The extension of such a model that computes the capital charge for a portfolio of corporate bonds, sovereign bonds and some products in trading book is described in this thesis. Finally, we do some experiments with real data sample from Bloomberg and to find IRC for real portfolio and discuss about some results.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC). After we figure out model construction with correlation structure, we will simulate the migration of issuers in trading book portfolio. Then we will simulate the rating of issuers at the over roll time depend on Basel requirements. The extension of such a model that computes the capital charge for a portfolio of corporate bonds, sovereign bonds and some products in trading book is described in this thesis. Finally, we do some experiments with real data sample from Bloomberg and to find IRC for real portfolio and discuss about some results.

Biografía del autor

I am egalitarian. Interest: Marco-economic modelling, Arbitrage, General equilibrium, Probability, Technical Analysis, Quant Fin, Risk Management and Uncertainty.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
LAP LAMBERT Academic Publishing
Año de publicación
2017
Idioma
Inglés
ISBN 10 
3659694932
ISBN 13 
9783659694936
Encuadernación
Tapa blanda
Número de páginas
60
Contacto del fabricante
no disponible
Persona responsable
no disponible