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
You can also select a web site from the following list
How to Get Best Site Performance
Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.