Correlation Structure and Application In Incremental Risk Charge - Couverture souple

Hoa, Ngo

 
9783659694936: Correlation Structure and Application In Incremental Risk Charge
Couverture souple
ISBN 10 : 3659694932 ISBN 13 : 9783659694936
Editeur : LAP LAMBERT Academic Publishing, 2017

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2017
Langue
anglais
ISBN 10 
3659694932
ISBN 13 
9783659694936
Reliure
Broché
Nombre de pages
60
Coordonnées du fabricant
non disponible
Personne responsable
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