correlation-matrix
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Formula of Unexpected Loss
Dear Mr David Sir, while going through the earlier posts, I came across the following formula for calculating the portfolio Unexpected Loss as benig sent by you to 'ravi80' on 23 June 2008. UL(p) = SQRT [sum(i) sum(j) correlation (i,j)UL(i) * UL(j)] ...........................(A)...- Maithreyi
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- correlation-matrix unexpected-loss
- Replies: 1
- Forum: P2.T6. Credit Risk (25%)
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Stress Test Covariance and Correlation Matrix
Hello David, I've seen the terms "covariance matrix" and "correlation matrix" a couple of times now, and I think I roughly know what they are and how they work, but I'm not sure as to how they apply and are being used in scenario analysis (stress testing). Also I am getting a bit overwhelmed by...- hsuwang
- Thread
- cholesky correlation-matrix monte-carlo stress-test-covariance
- Replies: 8
- Forum: P1.T4. Valuation & Risk Models (30%)