CreditMetrics — credit portfolio model

About this app

Monte-Carlo simulation in single steps: systematic factor, correlated returns, rating migration and loss distribution with EL, VaR and Expected Shortfall.

Subject: IRBA / banking supervision

More from IRBA / banking supervision

• Data representativeness (pool ↔ bank)
• Calibration (EBA/GL/2017/16)
• Margin of Conservatism (EBA/GL/2017/16)

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