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Results tagged with risk-management
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user 4675
The identification, assessment, and prioritization of risks, followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events or to maximize the realization of opportunities.
4
votes
Are there any well known methods of testing through-the-cycle rating systems?
I think the national regulators are more concerned with downturn LGD (sort of TTC LGD) rather than a TTC PD. Therefore most rating systems which I encounter are closer to being PIT and thereby easier …
- 106
5
votes
Accepted
Liquidity in a market risk model based on historical simulation
Autocorrelation of returns can be used as a proxy measure for liquidity of the asset.
The degree of serial correlation in an asset’s returns can be viewed as a proxy for the magnitude of the friction …
- 106