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
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.