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Counterparty Credit RiskIn February 2018, Malek Jawad and I taught a course on simulation in counterparty credit risk at the university of Edinburgh. We showed the students how to build a very simple Monte Carlo engine for CCR (with some very limiting assumptions), and did a little bit of backtesting to see how well the very simple model worked for predicting reality.
All the code we used the course is available on Github (https://github.com/simsforccr/FXSim-Calib-Project), and I've uploaded the course notes and exercises below. If you play with any of this and ave any questions, I'd be both very surprised and happy to answer them! |
Course notes |
The notes are available in PDF form below.
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Exercise Sheet |
The course consisted mostly of working through the exercise sheet below. The code in the 'exercises' folder of the git repository should have answers to all of these exercises.
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