[R-SIG-Finance] Questions related to R-Credit Risk

[Hans Radtke]

Christian,

Very timely question! Not only have we developed our own model prototype, but we are also using it with some of our clients right now. And we are seeing substantial interest in EC models at present, as many financial institutions are "incentivised" to implement more rigorous capital management processes. 

As you would expect, the thorniest issues in implementing such models are not necessarily around general C-VaR methodology, but around practical issues such as estimating asset correlation between sectoral/regional clusters, allocating capital down to the transaction level, handling assets in default, etc. In other words, the majority of our work is less focused on "The Model" itself, but on the sub-models required to provide input into it.

But I'm conscious of the fact that this thread should not be hijacked for marketing & PR purposes... so, I'm happy to share further information bilaterally or answer any questions specifically related to implementing this in R.

(and now for a commercial break...)

Mit besten Grüßen / With kind regards
Hans Radtke
Vorstand
 
Gutmark, Radtke & Company AG
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