MathWorks - Mobile View
  • Sign In to Your MathWorks AccountSign In to Your MathWorks Account
  • Access your MathWorks Account
    • My Account
    • My Community Profile
    • Link License
    • Sign Out
  • Products
  • Solutions
  • Academia
  • Support
  • Community
  • Events
  • Get MATLAB
MathWorks
  • Products
  • Solutions
  • Academia
  • Support
  • Community
  • Events
  • Get MATLAB
  • Sign In to Your MathWorks AccountSign In to Your MathWorks Account
  • Access your MathWorks Account
    • My Account
    • My Community Profile
    • Link License
    • Sign Out

Videos and Webinars

  • MathWorks
  • Videos
  • Videos Home
  • Search
  • Videos Home
  • Search
  • Contact sales
  • Trial software
  Register to watch video
  • Description
  • Related Resources

Using MATLAB for Risk Modelling: Two Practical Applications

Evi Pliota, HSBC
Gary Dunn, HSBC

In this session, Gary and Evi present two applications of using MATLAB for risk modelling: Incremental Risk Charge (IRC) and HSBC's De-peg Risk Measure (DPRM).

IRC is a regulatory capital model required to capture default and credit migration risk in the trading book. HSBC has had an approved IRC model since 2008; however, some enhancements were required for Basel III rules for the trading book that came into force at the end of 2011. MATLAB was used to build a replica of the model in production, which was then used to research the necessary enhancements. The MATLAB model is now often used for analysis of production results and for what-if analysis. The presentation discusses the IRC model requirements, MATLAB implementation, and experimentation with GPU technology to enhance performance.

The DPRM model calculates the capital requirement for the risk of the peg to be abolished or the regime to change. For certain currencies (pegged or heavily managed), the spot exchange rate is pegged at a fixed rate (typically to USD) or managed within a predefined band around a pegged rate. Historic FX rate scenarios for pegged or managed currencies typically display low volatility; therefore, a VaR measure calculated using historical movements will be understated as it does not reflect the risk of a peg break and change in currency regime. The purpose of the DPRM described in this presentation is to capture the risk of peg break and generate the appropriate capital requirement through the capital add-on calculation. MATLAB is used to build the model, and the application is shared with the Market Risk Control and Market Risk Managers using MATLAB Compiler™.

Recorded: 19 Jun 2012

Related Products

  • MATLAB

Feedback

Featured Product

MATLAB

  • Request Trial
  • Get Pricing

Up Next:

22:43
Use of MATLAB for Solvency II Capital Modelling: The...

Related Videos:

30:55
How Fennia Life Models Insurance Risk for Solvency II,...
30:00
Calibration and Simulation Best Practices: Multifactor...
2:24
ARPM and KKR Find Practical Quantitative Solutions to...
28:33
Basel 2 Advanced Internal Rating-Based Credit Risk Modeling...

View more related videos

MathWorks - Domain Selector

Select a Web Site

Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .

Select web site

You can also select a web site from the following list:

How to Get Best Site Performance

Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.

Americas

  • América Latina (Español)
  • Canada (English)
  • United States (English)

Europe

  • Belgium (English)
  • Denmark (English)
  • Deutschland (Deutsch)
  • España (Español)
  • Finland (English)
  • France (Français)
  • Ireland (English)
  • Italia (Italiano)
  • Luxembourg (English)
  • Netherlands (English)
  • Norway (English)
  • Österreich (Deutsch)
  • Portugal (English)
  • Sweden (English)
  • Switzerland
    • Deutsch
    • English
    • Français
  • United Kingdom (English)

Asia Pacific

  • Australia (English)
  • India (English)
  • New Zealand (English)
  • 中国
    • 简体中文Chinese
    • English
  • 日本Japanese (日本語)
  • 한국Korean (한국어)

Contact your local office

  • Contact sales
  • Trial software

Explore Products

  • MATLAB
  • Simulink
  • Student Software
  • Hardware Support
  • File Exchange

Try or Buy

  • Downloads
  • Trial Software
  • Contact Sales
  • Pricing and Licensing
  • How to Buy

Learn to Use

  • Documentation
  • Tutorials
  • Examples
  • Videos and Webinars
  • Training

Get Support

  • Installation Help
  • Answers
  • Consulting
  • License Center
  • Contact Support

About MathWorks

  • Careers
  • Newsroom
  • Social Mission
  • Contact Sales
  • About MathWorks

MathWorks

Accelerating the pace of engineering and science

MathWorks is the leading developer of mathematical computing software for engineers and scientists.

Discover…

  • Select a Web Site United States
  • Patents
  • Trademarks
  • Privacy Policy
  • Preventing Piracy
  • Application Status

© 1994-2021 The MathWorks, Inc.

  • Facebook
  • Twitter
  • Instagram
  • YouTube
  • LinkedIn
  • RSS

Join the conversation