PORTFOLIO VAR & CONDITIONAL VAR CALCULATION
€30-250 EUR
Betalades vid leverans
I need a computer application (could be an excel addon or an application using a CSV file as input) to calculate Value at Risk and Conditional Value at Risk (level of confidence = 1% and 5%) for a portfolio of corporate credits / receivables. Imagine to have, for each single corporate credit of the portfolio:
Credit amount in Euros
Annual Yield
Duration/maturity in years or fraction of a year
Probability of default (default=the event that generates a loss)
Recovery rate % (% of credit amount recoverable in case of default)
Loss given default % (= 100% less Recovery rate %)
The correlation between single assets of the portfolio is assumed to be zero.
Due to absence of historical data, a Montecarlo Simulation could be needed to estimate the distribution of returns.
Please get in touch if interested to implement the application.
Projekt-id: #18389960
About the project
9 frilansare har lagt bud på i genomsnitt €191 för det här jobbet
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