Correlation Structure and Application In Incremental Risk Charge

Language: English

Published by LAP LAMBERT Academic Publishing Sep 2017, 2017

3659694932 / 9783659694936

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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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

Title
Correlation Structure and Application In Incremental Risk Charge
Author
Ngo Hoa
Publisher
LAP LAMBERT Academic Publishing Sep 2017
Publication year
2017
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3659694932
ISBN 13
9783659694936
Item weight
107 grams
Dimensions
220x150x4 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

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BuchWeltWeit Ludwig Meier e.K.

Germany