Resource type
Date created
2010-08
Authors/Contributors
Author: Jia, Ru (Jessie)
Author: Guo, Han (Dabria)
Abstract
The main idea of this paper is to apply default analysis to the Student Investment Advisory Service (SIAS) fixed income portfolio, which contains 19 bonds. The portfolio credit risk analysis includes default probability, simulation of default time by using Gaussian copula and t copula, Economic Capital, Credit Value at Risk (VaR) and Expected Tail Loss (ETL).
Document
Description
FRM Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Scholarly level
Peer reviewed?
No
Language
English
Member of collection
| Download file | Size |
|---|---|
| FRM 2010 Guo, H. Jia, R..pdf | 1.74 MB |