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Models

Credit Exposure Risk Models

This simulation model follows a sample of 200 customers who each begin a year in a certain credit rating category and with a certain amount of credit exposure. By the end of the year, each customer has either defaulted or not, and in case of default, the percentage that can be recovered is uncertain. The simulation finds the total amount of loss from these customers and this total's percentage of the total amount of exposure. Also, it uses the RiskPercentile function at several confidence levels to find the amounts of reserve required to be confident of covering the losses._x000D_

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