Estimate the value-at-risk (VaR) using three methods, and how to perform a VaR backtesting analysis. The three methods are:
Work with consumer (retail) credit panel data to visualize observed default rates at different levels. It also shows how to fit a model to predict probabilities of default and perform a
Explores how to simulate correlated counterparty defaults using a multifactor copula model.
Work with consumer (retail) credit panel data to visualize observed probabilities of default (PDs) at different levels. It also shows how to fit a Cox proportional hazards (PH) model, also
Perform estimation and backtesting of Expected Shortfall models.
Calculate capital requirements and value-at-risk (VaR) for a credit sensitive portfolio of exposures using the asymptotic single risk factor (ASRF) model. This example also shows how to