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Have you look at copula package! Maybe you could get ideias from it https://www.jstatsoft.org/article/view/v021i04/v21i04.pdf http://finzi.psych.upenn.edu/R/library/copula/html/copula-package.html


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What you're looking for looks to be more in the realm of a mathematical model (specific to the company's size, available liquidity, and industry). Credit Risk Pricing Models may provide a decent overview of how to build such a model. Unfortunately duration/convexity will only help you capture the interest rate risk on your bonds, and not any of the ...


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Risk Transfer simply involves transferring "only" risk to another person for price. For example, downside risk of stock can be transferred by purchasing a call option. In this way, the buyer of call option transfer its risk to writer of call option. Another example is insurance, wherein, the buyer transfer its risk to insurance company. Risk Sharing is ...


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I have studied unsystematic risk [USR] for more than two decades. In fact, I wrote a book (which is here) whose central focus is how to deal with USR in the valuation of non-public companies. It is a multifaceted, complex, and difficult issue. Modern Portfolio Theory did professionals in my line of work no favors when it assumed away the existence of USR ...


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Yes, it is correct. Underestimation: you under-estimate the risk, so you have more VaR violations than what your model predicts. Ex: With 100 observations, and a 99% VaR, you expect 1 violation but you observe 5 violations. Overestimation: you over-estimate the risk, i.e the risk is less important that you expect. You observe less VaR violations that you ...



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