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Correlation Structure and Application In Incremental Risk Charge

Name: Correlation Structure and Application In Incremental Risk Charge
Brand: LAP Lambert Academic Publishing
SKU: 18256440
Price: 30.15 EUR
Availability: InStock
Author: Ngo Hoa
ISBN: 9783659694936

Ngo Hoa

Língua

Inglês

Livro Capa mole

Código Libristo: 18256440

Editoras LAP Lambert Academic Publishing, novembro 2016

Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC)... Descrição completa

Código Libristo: 18256440

73 b

30.15 €

Armazenamento externo Envio em 8-11 dias

Até 30 dias para devoluções

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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.