Creditmetrics O Is based on a ratings transition matrix O Assumes in sampling that credit rating changes for different counterparties are independent O Calculates one-year credit VaR for a portfolio of transactions with many counterparties using Monte Carlo simulation O Uses internal ratings used by the bank or those produced by rating agencies

Creditmetrics O Is based on a ratings transition matrix O Assumes in sampling that credit rating changes for different counterparties are independent O Calculates one-year credit VaR for a portfolio of transactions with many counterparties using Monte Carlo simulation O Uses internal ratings used by the bank or those produced by rating agencies

Economics Today and Tomorrow, Student Edition

1st Edition

ISBN:9780078747663

Author:McGraw-Hill

Publisher:McGraw-Hill

Chapter14: Money And Banking

Section14.2: History Of Americans Money And Banking

Problem 2R

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