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

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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


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