Home | Topics | stress test

Default Factor Modelling Blueprints from JAM Analytic Bridge Blog (ABBU)

Printer-friendly versionPDF version

The Default Factors are 'Probability of..' / 'Loss Given ..' etc etc (there are more spohisticated variants and inverts which can be deployed), alot of people find these difficlult to get their heads around (I sympathize, I did too, at the beginning); and then you have to integrate them into a macro-factor model to estimate risk capital (an oversimplification I know). Well over on my technical blog on Analytic Bridge I have blogged several references to Default Factor Modelling techniques, I use that blog to "collect as I go"; as I discover new useful techniques either as a response to client requirements or indeed as often happens the client is using a better technique than I have ever found (not that I tell them of course - the methodology is as always [alpha and omega] 'borrow the watch and tell the time'; I am, after all a Consultante !!!!

Anyway I am consolidating and synthesising my Analytic Bridge blogs into my asymptotix parables so when you see the code ABBU on a blog here, it is effectively an Analytic Bridge BackUp (ABBU) but in doing this I can see the value of synthesising the AB technical references into subject area threads. This one will focus on

 

Default Factor Modelling Blueprints

 

Short URL
Asymptotix on Twitter

Are the key legislative pillars such as Basel II & III, UCITS IV and Solvency II forcing you to re-examine how you identify, measure and manage risk and capital?

Asymptotix work closely with our partners to help clients develop a more proactive, systematic and integrated approach to governance and risk management to deliver proper value.

Asymptotix can offer the support you need to deliver on time. Read more...
 

Is the goal of your website to sell services or products, educate, or collect data?

A positive customer experience is vital to conversion, no matter what your conversion goals may be. Our designers and developers will create a positive experience to maximize your conversions and deliver the optimal return on your investment. We strive to find the perfect balance between the web site’s design and functionality.

Asymptotix implements interactive solutions for European companies. From corporate websites to social communities, our clients will tell you an investment in building a scalable online experience will deliver long-term tangible benefits.

Based in Luxembourg we can help you all over Europe. Our multi-lingual team can work with projects and speak your language! Read more...