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Financial Risk Management in PTC Mathcad

Newbie

Financial Risk Management in PTC Mathcad

By Geoff Chaplin

About this worksheet:

  • Illustrates financial risk management using credit derivatives 
  • Can be used to learn how to construct models relevant to managing risk through the use of credit derivatives 
  • Demonstrates statistical models and computer programs to construct simulations of risk management using combinatorics

From the textbook Credit Derivatives: Risk Management, Trading, and Investing (John Wiley and Sons, 2005), this worksheet employs assumptions about the distribution of risk to simulate expected rates of default for the purposes of financial planning. This worksheet explains and explores: 

  • simulation pricing for testing 
  • generation of default times 
  • matrix creation function 
  • basket simulation

Multiple examples are used to help you see the many ways in which you can use PTC Mathcad with financial risk management. Notation, data, formulas, and equations are all included in this worksheet to help you.

Download and explore this worksheet yourself! You can download a free lifetime copy of PTC Mathcad Express and get 30 days of full functionality.