CIR Model – Appropriate Time Step
2 mins read What is the appropriate time step to use in estimating parameters for, and projecting short rates using, the CIR model?
2 mins read What is the appropriate time step to use in estimating parameters for, and projecting short rates using, the CIR model?
9 mins read A follow up post on our Economic Capital series where we looked at an alternate approach for calculating Economic Capital
8 mins read BCBS 239. Principles for effective risk data aggregation and risk reporting Improving banks’ ability to aggregate risk data will improve
3 mins read Economic Capital – Everything you ever wanted to know but were afraid to ask. For the last seventeen years I
4 mins read So far we have presented two methods for estimating Economic Capital. The first uses the worst case change in Shareholders
4 mins read In our first method presented earlier for calculating economic capital we used the historical worst case shift. In method two