Vadim Tcacenco

3 Questions 7 Answers 0 Followers

Questions related from Vadim Tcacenco

Where can I find bankruptcy statistics?

I am intending to predict default probabilities by using logit regression on financial ratios of several companies from the same sector. Any idea where could I find a data set of companies from...

13 February 2015 2,337 3 View

Can I use Real Default Probabilities in Wrong Way Risk analysis?

I am writing a master thesis and I am stuck on a question, therefore I would be more than thankful if any of you could help me. I am modeling Wrong Way Risk. I use an over the counter forward...

11 February 2015 462 2 View

Can anyone help with the scaling the time horizon for VAR (Value At Risk)?

I would like to compute the value at risk for a portfolio of several financial instruments (their returns are not normally distributed). My underlying for all of them is the oil price, with...

24 June 2014 8,307 14 View