Published January 26, 2023
| Version v1
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Portfolio Exposure and Risk Model
Creators
Description
The model has significantly simplified the operation for producing valuation, VaR and stress-testing results, and the approximations made in the implementation of the crawl out calculation in the model currently appear reasonable.
Notes
https://ia904707.us.archive.org/17/items/cancellableSwap/cancellableSwap.pdf
Files
portfilioExposureRisk.pdf
Files
(121.5 kB)
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