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Counterparty Credit Risk

In 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.
counterparty-credit-risk.pdf
File Size: 302 kb
File Type: pdf
Download File

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.
counterparty-credit-risk-exercises.pdf
File Size: 127 kb
File Type: pdf
Download File

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