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Paper / 2023SMQ / 278155316463219
On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks
Eva Lütkebohmert / Hongyi Shen / Julian Sester
credit risk / monte carlo simulationResource overview

On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks

Paper2023

by Eva Lütkebohmert, Hongyi Shen, Julian Sester

Tags
credit riskmonte carlo simulationrisk management

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  1. Random Variables and Distributions

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  2. Expected Shortfall and Other Tail Risk Measures

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  3. Laws of Large Numbers and the Central Limit Theorem

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  4. Random Number Generation

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  2. Backtesting VaR and ES: Coverage Tests and Model Validation

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  3. Monte Carlo Option Pricing

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