CREDIT VALUE AT RISK AND EQUITY PORTFOLIO VALUE AT RISK
PRODUCT INFORMATIONThere are three applications in this section, the first one is for calculating credit-value-at-risk, the second one is for calculating single period equity portfolio value-at-risk, and the third one is for calculating multi-period equity portfolio value-at-risk. The descriptions in this section are brief. Click on the respective application link button to get to the application site, then click on the valuation procedure link for more details.
Credit-value-at-risk for a portfolio of similar loans. This application calculates credit-value-at-risk for a portfolio of similar loans using the Gaussian-Copula model.
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Single period equity portfolio value-at-risk. This application uses Monte-Carlo simulation to calculate single period value-at-risk for an equity portfolio.
Multi-period equity portfolio value-at-risk. This application uses Monte-Carlo simulation to calculate multi-period value-at-risk for an equity portfolio.
