Definicja portfolio model

Allows the effects of portfolios that arise from the correlation of the constituents of the portfolios when counterparty risks are aggregated to be taken into account.

The result of a portfolio model is usually a distribution of the future values or value changes of the portfolio. Such changes may arise from defaults (default-oriented portfolio model) or changes in the credit ratings (market-value oriented portfolio model) of the constituents of the portfolio. Key figures, such as the credit value at risk and the risk amounts of the portfolio constituents, are calculated from...