Simulating Spread Dynamics for VaR & CVA
A new model using a Gaussian one factor copula is suggested for simulating spread risk in banks' risk models, ensuring consistency between simulated and actual historical spreads.
Featured in No. 26 on 15 Nov 2023 ·
- Released
- 8 Jul 2021
- First featured
- No. 26 · 15 Nov 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4628754
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).