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.
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About the Author
I am egalitarian. Interest: Marco-economic modelling, Arbitrage, General equilibrium, Probability, Technical Analysis, Quant Fin, Risk Management and Uncertainty.
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Correlation Structure and Application In Incremental Risk Charge
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 60 pp. Englisch. Seller Inventory # 9783659694936
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Correlation Structure and Application In Incremental Risk Charge
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Correlation Structure and Application In Incremental Risk Charge
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Hoa NgoI am egalitarian. Interest: Marco-economic modelling, Arbitrage, General equilibrium, Probability, Technical Analysis, Quant Fin, Risk Management and Uncertainty.Correlation structure is one of the most common problem in c. Seller Inventory # 174171890
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Correlation Structure and Application In Incremental Risk Charge
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ISBN 10: 3659694932
ISBN 13: 9783659694936
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 60 pp. Englisch. Seller Inventory # 9783659694936
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Correlation Structure and Application In Incremental Risk Charge
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Seller Inventory # 9783659694936
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Correlation Structure and Application In Incremental Risk Charge
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Taschenbuch. Condition: Neu. Correlation Structure and Application In Incremental Risk Charge | Ngo Hoa | Taschenbuch | Englisch | 2017 | LAP LAMBERT Academic Publishing | EAN 9783659694936 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu Print on Demand. Seller Inventory # 113180114
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Correlation Structure and Application In Incremental Risk Charge
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