Dr. Marcus Wunsch, UBS
Credit risk is the risk of loss resulting from the failure of a client or counterparty to meet its contractual obligations. For a bank, the accurate measurement of the total credit risk it is exposed to is therefore of utmost importance.
In this presentation, Marcus gives a brief overview of structural credit models involving correlated defaults and their simulation in MATLAB®. In particular, he talks about the remarkable efficiency gains in a parallelized setup.