Technical paper/Credit risk
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Modest means
Credit loss models typically calibrate default separate from loss given default. Here, Jon Frye calibrates simultaneously, using credit loss data. This produces a surprising test result: the credit loss models do not significantly outperform a…