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Yes, you can assume that, since you cannot extract the probability of default for shorter maturity, but for the 5-years only CDS one, because of unavailability of data. Of course, you'll have to update with shorter frequency your estimate, because the extracted PD will change overtime and the $PD_t$ could be different from $PD_{t+1}$, according to the ...


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The results depend on your distribution of losses. If there is lot of departure from Normality, Cornish-Fisher VaR results will not be as accurate as GPD. But again to estimate block maxima effectively you need a large amount of data. So it is difficult to say much without looking at the data. Also, I would use the QRM package that accompanies the book, ...



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