New answers tagged risk-management
There exist 3 kind of models for credit portfolio management: Structural models (as, for instance, the KMV's based-models or credit-metrics models); Actuarial (or intensity) models; Macro-Factors (or econometrics) models; I suggest you to read Derbali (2012), that's a simple paper that explains the main features and the differences among those kinds of ...
As regards the free sources, the best place where you can find material about credit risk management is defaultrisk.com; it is a website where are collected (almost) all academic (and not) articles and working paper, references and researchers. Moreover, as regards the forums, I think you should try visiting Credit Risk Group at Linkedin; it is a very ...
In this presentation https://www.academia.edu/attachments/37039957/download_file?st=MTQyNjgyNTAxNCwyMDIuMTc0LjE3MC4xNjIsMTIyMTAxMg%3D%3D&s=work_strip I show the feasible bounds for the modified VaR calculation and provide a small test to show when it is outside those bounds.
This is my experience (I am heading the Risk Analytics team for an investment bank in the City): We only ever bought the Optimization and Statistics toolboxes. You are better off writing any extra functionality yourself. Most of the stuff is simple, and writing it yourself improves your understanding and highlights potential pitfalls. Having said that, we ...
PerformanceAnalytics in R and PortfolioAnalytics in R Here is a tutorial from UW http://faculty.washington.edu/ezivot/econ424/portfolioFunctionsPowerPoint.pdf
There are two good tools in R project: Systematic Investor Toolbox and fPortfolio package.
These are identical definitions of ES. It's just a matter of expressing losses as negatives or positives. First definition Notice the integral bounds are $a$ and $1$: losses are positive; this is so-called Loss(+)/Profit(-). Here alpha might be 95%, as in 95% confidence VaR or ES. Second definition Losses are negative, and the corresponding quantile is ...
I don't have 50 reputation, so cannot comment. But Richard's answer is a high-level answer toward approaches used by practitioners in quantitative portfolio management. I have worked with firms that sourced data on the components from multiple providers who charge tens of thousands per user to pre-calculate the components periodically and give you a ...
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