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Credit-VaR
Posted: March 12th, 2003, 7:01 am
by Manishs
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
Credit-VaR
Posted: March 12th, 2003, 9:33 pm
by terrorbyte
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?
Credit-VaR
Posted: March 13th, 2003, 7:50 am
by mrbadguy
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.
Credit-VaR
Posted: March 13th, 2003, 4:58 pm
by terrorbyte
Thanks for your help MrBadGuy!
Credit-VaR
Posted: March 14th, 2003, 11:53 am
by Manishs
Thanks Mr. BadGuy
Credit-VaR
Posted: March 17th, 2003, 7:56 pm
by i818789
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)