1. Catalog
  2. Finance
  3. Monte Carlo Simulation
  4. Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
  • Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation
Originally published: 22/06/2018 08:51
Publication number: ELQ-26701-1
View all versions & Certificate
certified

Compute Incremental Risk Charge for a Bond Using Monte Carlo Simulation

A prototype to compute the incremental risk charge (IRC) for a bond position using a novel monte carlo simulation.

Satish Ramanathanby Satish Ramanathan
Quantitative AnalystFollow 15
766 views|2 comments|Bookmark Add to cart - $299.00
ircincremental risk chargebaseltrading bookasset value processcredit spreadmodel calibrationvasicekexponential vasicek
Description
A prototype to calculate IRC for a Corporate Bond position that could well be extended to cover a portfolio of bonds in the trading book.

Follows the guidelines of BASEL and uses Structural Merton Model to compute the IRC of a single bond position. Includes stochastic simulation on asset value, spread curve generation.

Includes the provision of liquidity horizon, constant level of risk and a capital horizon of 1 year.

NOTE when opening the file please enter these codes.

Username: John
Password: Password1

This Best Practice includes
1 EXCEL MODEL, 1 POWER POINT FILE

Acquire business license for $299.00

Add to cart

Add to bookmarks

Discuss

Further information

It gives the methodology and a prototype code to compute the incremental risk charge for a single bond position.

It should be programmed to include a portfolio of bonds preferably in a more sophisticated software environment


0.0 / 5 (0 votes)

please wait...