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The Monte Carlo Simulation in Calculating Credit VaR Based on Improved Credit Transportation Probability Matrix

Author: ChenJunJie
Tutor: LinJianZhong
School: Shanghai Jiaotong University
Course: Probability Theory and Mathematical Statistics
Keywords: Credit VaR Monte Carlo simulation credit trans-portation probability matrix
CLC: F224;F832.51
Type: Master's thesis
Year: 2012
Downloads: 117
Quote: 0
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Abstract


In this paper we suggest a new Monte Carlo simulation in calculating Credit VaRbased on improved credit transportation probability matrix to weigh the credit risk ofcertain portfolio. First, we describe those credit risk model in a new way of Bernoullimixture model. Second, we suggest the new idea of improved credit transportationprobability matrix and found Monte Carlo simulation to calculate credit VaR based onthis idea. Last, we apply our method to Municipal Bonds in China and finish empiricalresearch. We find our method is an efficient way to evaluate credit risk.

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