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Correlation Structure and Application In Incremental Risk Charge

Language EnglishEnglish
Book Paperback
Book Correlation Structure and Application In Incremental Risk Charge Ngo Hoa
Libristo code: 18256440
Publishers LAP Lambert Academic Publishing, November 2016
Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC)... Full description
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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.

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About the book

Full name Correlation Structure and Application In Incremental Risk Charge
Author Ngo Hoa
Language English
Binding Book - Paperback
Date of issue 2017
Number of pages 60
EAN 9783659694936
Libristo code 18256440
Publishers LAP Lambert Academic Publishing
Weight 108
Dimensions 150 x 220 x 4

Categories

Health, Relationships & Personal development > Self-help & personal development > Personal finance
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