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by sharper
February 21st, 2021, 12:04 pm
Forum: General Forum
Topic: Credit risk modelling transition matrices - T-Copula
Replies: 0
Views: 988

Credit risk modelling transition matrices - T-Copula

I have been using the Belkin approach to calibration the Vasicek credit transition matrix model as outlined here: https://www.z-riskengine.com/media/1037/the-effect-of-systematic-credit-risk-on-loan-portfolios-and-loan-pricing.pdf Does anyone know of a similar paper describing how to calibrate a mod...
by sharper
November 10th, 2016, 11:39 am
Forum: General Forum
Topic: Callable bond data
Replies: 0
Views: 624

Callable bond data

Hello, I am looking for data on how frequently callable bonds are called at the first call date or otherwise.  I have seen examples such as deutsche bank in 2008 not calling.  https://www.bondvigilantes.com/blog/2008/12/17/who-cares-about-the-fed-deutsche-bank-didnt-call-one-of-their-bonds-this-morn...
by sharper
March 4th, 2014, 8:50 am
Forum: General Forum
Topic: Merrill Lynch Corporate bond indices senior sub split
Replies: 0
Views: 5132

Merrill Lynch Corporate bond indices senior sub split

<t>I wondered if anyone knows the split between senior and subordinated bonds in the Merrill Lynch corporate bond indices.For example the BBB 5-7 year index - what proportion of bonds in this index are senior and subordinated?It sounds a long shot someone might know, but I could not find it in the i...
by sharper
March 4th, 2014, 8:44 am
Forum: General Forum
Topic: VaR model based on copulas and EVT
Replies: 1
Views: 5457

VaR model based on copulas and EVT

You can use R to fit EVT and copulas relatively easily.I dont know about Excel. If you search under my name, I asked a question about the specification for gaussian and T copula
by sharper
November 9th, 2012, 11:19 am
Forum: General Forum
Topic: Economic Capital horizon for market risk
Replies: 5
Views: 10382

Economic Capital horizon for market risk

insurers in the UK calculate 1 year VaR. Solvency 2 is also 1 year VaR.
by sharper
November 3rd, 2012, 8:52 pm
Forum: General Forum
Topic: VaR definition
Replies: 5
Views: 10198

VaR definition

<t>thanks for this. What if the purpose of the VaR calculation is calculation of capital which you are required by regulation to set aside today - is discounting the right approach?If the regulation states VaR is to be calculated IN 1 years time, I think discounting is possible. If it states OVER 1 ...
by sharper
November 3rd, 2012, 7:11 pm
Forum: General Forum
Topic: VaR definition
Replies: 5
Views: 10198

VaR definition

<t>thanks a lot for the quick reply; and good question, that is helpfulinsurance companies have to a do VaR on one year, which makes the discounting more of a question (though perhaps not a lot in currently low yield context)I have heard another definition of VaR as:{{surplus at t=1 in real world be...
by sharper
November 3rd, 2012, 6:39 pm
Forum: General Forum
Topic: VaR definition
Replies: 5
Views: 10198

VaR definition

<t>If I am doing a 99th percentile VaR over 1 month on my balance sheet for say equity risk does that mean:{surplus at t=0} - {surplus in 99th percentile at t=1} (possibly allowing for discounting from t=1 to t=0)Is that right - or does someone have another definition? What are views on discounting ...
by sharper
November 3rd, 2012, 6:32 pm
Forum: General Forum
Topic: Polynomial Component fit to yield curve
Replies: 2
Views: 10175

Polynomial Component fit to yield curve

thanks - I was not too sure how to apply this in practice.I can calculate the variance of the scalars with a flat component - how do I calculate the total variance to compare this to?Many thanks for any comments
by sharper
November 1st, 2012, 1:21 pm
Forum: General Forum
Topic: Polynomial Component fit to yield curve
Replies: 2
Views: 10175

Polynomial Component fit to yield curve

<t>Hello,I have been looking at fitting Principal Components to changes in historic yield curves. I am now looking at fitting a flat component (i.e. polynomial component) to historic yield curve movements. Could I ask how to calculate the proportion of variance explained by a flat component?Many tha...
by sharper
July 31st, 2012, 11:54 am
Forum: General Forum
Topic: Skewed student-t distributions
Replies: 2
Views: 12372

Skewed student-t distributions

Are you looking at the Pearson Type 4?
by sharper
February 27th, 2012, 10:01 am
Forum: Technical Forum
Topic: T copula
Replies: 2
Views: 15094

T copula

that is great - many thanks. i will have a look through at doing this in R and potentially ask further questions
by sharper
February 25th, 2012, 9:19 pm
Forum: Technical Forum
Topic: T copula
Replies: 2
Views: 15094

T copula

<t>A specification for applying a gaussian copula for say three columns of 1000 random numbers (3*1000 matrix called A) from U(0,1) is:1. Apply normal transform (N(0,1)) to A; call this B.2. Take cholesky decomposition of correlation matrix between each column of A. Call upper matrix of cholesky dec...
by sharper
February 7th, 2012, 11:48 am
Forum: General Forum
Topic: Bid offer spreads on futures for Euronext
Replies: 2
Views: 14475

Bid offer spreads on futures for Euronext

not rather than - as well as. it is a regulatory question - insurers are not allowed to assume they can roll over without allowing for the potential increased cost of doing so. the quesiton is how bad can bid offer spreads go at say Euronext?many thanks for any commnets
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