Credit Portfolio Simulation with MATLAB
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.
Recorded: 9 Jun 2015
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