Credit risk Modify the algorithm in Section 24.3.2 (b) to take into account changes in the value
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Credit risk Modify the algorithm in Section 24.3.2
(b) to take into account changes in the value of the economic factor over the K periods. Assume the values of ψ over the period, ψt
, are provided by an economic scenario generator. Discuss what effect this might have on the number of simulations that you need to produce a reliable aggregate loss model.
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