PORTFOLIO VAR & CONDITIONAL VAR CALCULATION

Stängt Publicerat 5 år sedan Betalades vid leverans
Stängt 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.

C#-programmering Excel PHP Programvaruarkitektur Visual Basic

Projekt-id: #18389960

About the project

9 offerter Distansprojekt Aktivt 5 år sedan

9 frilansare har lagt bud på i genomsnitt €191 för det här jobbet

schoudhary1553

Hello sir, I can help you with your project PORTFOLIO VAR & CONDITIONAL VAR CALCULATION . I have the good experience in C# Programming, Excel, PHP, Software Architecture, Visual Basic. Please see my profile i have d Mer

€250 EUR inom 4 dagar
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8.1
latatestTech

With Freelancer Preferred badge bound to give 100% Quality (Let's Chat) Hello, A great team is here for your service!! I read the project description properly, and I agreed to fulfill 100% of all your requiremen Mer

€200 EUR inom 3 dagar
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8.1
asadkhan3533

Please review my profile as I have relevant skills and experience required for this project. Kindly send me a message to discuss further. Thanks, Asad khan

€250 EUR inom 10 dagar
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6.8
Ashisjena2015

HI, I am a Chartered Accountant having more than 10 years’ experience in accounting, finance, audit and taxation. Please check my profile as I did similar work on past. It will be great for me if you will message i Mer

€200 EUR inom 3 dagar
(37 omdömen)
5.3