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Probability of Default (PD) models, Loss Given Default (LGD) models and Exposure at Default models

Altair Forum User

Submitted by Jane Darnell on Fri, 07/03/2009 - 01:02

Is it possible to use Vissim to build Credit risk rating models? Assuming that the data is available to build the models, I would like to use Vissim to predict the minimum amount of capital needed to protect depositors in a bank. The model will use fluctuating customer default behavior.

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Altair Forum User

Submitted by pete on Fri, 07/03/2009 - 02:09.

I suspect the whole economic mess we're in now is because people in finance were NOT using VisSim.
Version 7 of VisSim has introduced a variety of new statistical distributions like Pareto, Weibull, Cauchy and Erlang. I have to confess I'm not familiar with the math typically used to create such risk models, but if you can give me an equation or two, I'll post a diagram with a solution.
Pete

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Submitted by Jane Darnell on Fri, 07/03/2009 - 03:02.

All the info I have is from the Basel II information web sites. The models that are around tend to flounder because of the data getting corrupted, not because the software is bad. It would be helpful if you could filter the data before adding it to the model.

Altair Forum User

Submitted by dqzhhuitao on Sun, 08/30/2009 - 14:26.

Why i can not simulate the example include dsp?

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Submitted by dqzhhuitao on Sun, 08/30/2009 - 14:37.

how can I simulate all models---visim/dsp/examples/digital motor control?

Altair Forum User

Submitted by vinayak on Wed, 09/16/2009 - 19:07.

I am working on statistical stack-ups. These are summations of dimensions and tolerances with certain distributions. The resulting signal also has variations which can be plotted on a Histogram.

Is there a way to analyze the result? I need to find matching distribution, mean, stdev etc.