Linear Discriminant Analysis (LDA)
A scoring model is a family of statistical tools developed...
Read More(Risk Model Discussion) Distinguish between the Structural and the Reduced-form Approaches
Distinguish between the structural approaches and the reduced-form approaches to...
Read More(Credit Risk/ Corporate Risk) Apply the Merton Model to Calculate Default Probability and the Distance to Default
Apply the Merton model to calculate default probability and the...
Read MoreThe 7 Basel II Level 1 Operational Risk Categories
What is Basel II According to Investopedia, Basel II is...
Read MoreTwo-Way and One-Way CSA Agreement
This post will talk about difference between a two-way and...
Read MoreEstimate the expected shortfall given P/L or return data.
A major limitation of the VaR measure is that it...
Read MoreEstimate VaR using a historical simulation approach.
Estimating VaR with a historical simulation approach is by far...
Read MoreEstimate VaR using a parametric approach for both normal and lognormal
In contrast to the historical simulation method, the parametric approach...
Read More