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Monte Carlo, risk, QMC, statistical efficiency, high dimensional approximation...

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5 Questions

views newest activity votes

3

votes

0

answers

86

views

Stress testing covariance

correlation covariance correlation-matrix stress-testing reverse-stress-testing

apr 17 at 13:02 Quartz 449

3

votes

0

answers

40

views

Credit spreads vs default events dependence

simulations default dependence credit-spreads

feb 25 at 17:57 Quartz 449

1

4

votes

0

answers

84

views

Basel CVA VaR with R/WWR

cva basel-iii cva-var wwr rwr

jan 21 at 18:03 Quartz 449

3

votes

0

answers

161

views

What makes IRC a market risk?

credit-risk market-risk

nov 1 at 8:56 Quartz 449

1

vote

0

answers

145

views

VaR backtesting with overlapping time intervals

backtesting var

sep 28 at 12:19 Quartz 449

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