Correlation Structure and Application In Incremental Risk Charge

Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC). After we figure out model construction with correlation structure, we will simulate the migration of issuers in trading book portfolio. Then we will simulate the rating of issuers at the over roll time depend on Basel requirements. The extension of such a model that computes the capital charge for a portfolio of corporate bonds, sovereign bonds and some products in trading book is described in this thesis. Finally, we do some experiments with real data sample from Bloomberg and to find IRC for real portfolio and discuss about some results.

Autorentext

I am egalitarian. Interest: Marco-economic modelling, Arbitrage, General equilibrium, Probability, Technical Analysis, Quant Fin, Risk Management and Uncertainty.