ISBN : 978-0-9934819-1-8

Credit Risk Management

No. of pages : 80
Editor : Giulio Carlone
Price : $45


This work consists in providing, for the first time in literature, a quantitative research and analysis on the generation of credit risk measures using a Monte Carlo simulation. In the first section I will analyse a real-life portfolio. In the second section, I will analyse a test portfolio making variations in the flat yield curve to better observe the differences when changing the distribution of simulation dates, the relative source code of the Monte Carlo simulations is available at the end of the book.

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