Risk Management and Portfolio Analysis

Model Instructions - Portfolio Analysis

1. Enter the required values into the input fields on the left of the page.
   -  These fields are pre-filled with some sensible default values.
2. The 'R' coefficient determines the correlation between obligors' default behaviour.
   -  This coefficient must lie between zero and one. A value of zero causes obligors to behave independently, a larger value induces correlated default behaviour, which is a principal cause of risky 'fat-tailed' loss distributions.
3. Press the 'Run Model' button to start the calculations.
   -  Graphical and numerical model results will be displayed on the screen.
4. The browser display will be updated every few seconds while the model is running

Notes

1. This is a simple model for the purposes of demonstration and illustration only.
   -  For example, this can be used to investigate the effects of changing the different model input parameters.
2. The model simulates the impact of default events, it does not include 'upgrade'/'downgrade' events.
3. The model assumes a (deterministic) loss given default of 100% in all cases.
4. This model runs entirely within your web browser, it does not use any of our server-based analytics.
   -  The model will only run if your browser has 'scripting' enabled.
5. I have used some advanced browser scripting techniques to implement this demonstration, which has been tested on a range of 'modern' web browsers. However, if you encounter any problems, please contact me with details:

ps. You spent how much? on a system to do these calculations.