Credit Risk modelling - Use of 2 models on 2 companies

已关闭 已发布的 Jul 24, 2011 货到付款
已关闭 货到付款

Hi, its a simple project for an expert in credit risk. I need this work done urgently, probably deliverd in the next 3-4 days. It should not be more than a days work for a risk modeller. I am looking at two banking institutions, ICICI Bank (India Listed, BSE code: 532174) and HSBC Holdings (LSE listed: HSBA). ICICI Bank has March 2011 financial year-ending and HSBC has December 2010.

I am working on creating credit risk models, where I compare these two companies using 2 models. One of which is VaR model (which determines the Loss Given Default and other numbers), and probably other could be a Monte Carlo Simulation or KMV Merton model. You are free to choose any of the two models. Kindly note that this cannot be a simple model (like Altman Z test etc). You will need to work on excel, and based on your results I shall write do a write up on the same.

As said earlier, it needs to be done in next 3-4 days, i need to see the models by Thursday [url removed, login to view] GMT (28th July 2011). Only bid in case you have understood my requirements. Feel free to email me in case of any clarifications.

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