Credit-VaR

Manishs · March 12th, 2003, 7:01 am

Hi,Does some have an excel based model for calculating Credit-VaR of a portfolio?it can be sent to me at manishs@kesdee.comi would be very thankfulregardsmanish

terrorbyte · March 12th, 2003, 9:33 pm

Sorry to ride on your topic Manishs but is there a definitive methodolgy for Credit VaR? From what I have seen, the jury still seems to be out.Can someone provide a link to somewhere that provides a good CVaR methodology description?

mrbadguy · March 13th, 2003, 7:50 am

For detailed information about creditVar check into VAr website gloriamundi.org, and have a look to Creditrisk+ method in this paper of FED of Chicago, good luck.

terrorbyte · March 13th, 2003, 4:58 pm

Thanks for your help MrBadGuy!

Manishs · March 14th, 2003, 11:53 am

Thanks Mr. BadGuy

i818789 · March 17th, 2003, 7:56 pm

This is my approach on calculating CVAR:Start from simple: one asset CVAR ( Ford motor CVAR)Step 1: CDS pricings on Ford in past two years, then calc log return arrayStep 2: Get distrubution chartStep 3: Historical CVARIf you can not find CDS pricing, use KMV's EDF or calib by using stock price/Vol (E2C)