PROCEDURE FOR CALCULATING CREDIT-VALUE-AT-RISK FOR A PORTFOLIO OF SIMILAR LOANS USING THE GAUSSIAN-COPULA-MODEL



Financial solutions home page

  1. Log into your account or if you are a new user, register your account and enable two factor authentication.
  2. Click on the [Credit-value-at-risk] button, this will take you to the Dynamic-text-blocks parameters page.

Dynamic text-blocks parameters page

  1. Enter number of left tail default times in the mapped real world cumulative default probability distribution.
  2. Enter the time period in years between successive default times in the left tail cumulative default distribution mapping. It is important to make sure the time-spacing is such that one of the default times matches the credit-value-at risk calculation horizon. It is possible to simply put one default time and time-spacing that matches the calculation horizon. The reason for inclusion of the possibility for several default-times is to give users an option to keep database records for default probabilities if they so wish.
  3. Click the submit button, and this will take you to the array populating page.

Array populating page

  1. Enter real-world left-tail cumulative default probabilities at indicated times.
  2. Click the submit button, and this will take you to the Credit-value-at-risk valuation parameters page.

Credit-value-at-risk valuation parameters page

  1. Enter the name of portfolio of loans.
  2. Select the name of currency of valuation from the drop-down list.
  3. Enter the total value of exposures.
  4. Enter the recovery rate assumption.
  5. Enter the confidence level for value-at-risk measurement as a percentage.
  6. Enter the copula correlation.
  7. Click the submit button and this will take you to the output display page.

Output display page

  1. You can view pricing model output together with input parameters you entered.
  2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
  3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
  4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.