Hi David,
I have two questions.
1. Is the Credit PortfolioView model described in Desevigny Chapter 6 (in Core Reading Year 2008) the same as the McKinsey & Co/Wilson model in Chapter 20 (in Core Reading 2009)?
2. From Desevigny Chapter 6 the description of the model stops at generating a distribution of migration probabilities. How is the portfolio loss distribution generated from there? Does the steps in Stimulation Framework Figure 6-2 applies?In particular the stimulation of correlated returns is still performed and from there the use of the generated transition probabilities to come up with the generated migration events?Then using an asset valuation model to value terminal portfolio values and hence portfolio loss distributions.
Thanks
Peggy
I have two questions.
1. Is the Credit PortfolioView model described in Desevigny Chapter 6 (in Core Reading Year 2008) the same as the McKinsey & Co/Wilson model in Chapter 20 (in Core Reading 2009)?
2. From Desevigny Chapter 6 the description of the model stops at generating a distribution of migration probabilities. How is the portfolio loss distribution generated from there? Does the steps in Stimulation Framework Figure 6-2 applies?In particular the stimulation of correlated returns is still performed and from there the use of the generated transition probabilities to come up with the generated migration events?Then using an asset valuation model to value terminal portfolio values and hence portfolio loss distributions.
Thanks
Peggy