Calculating Unexpected Losses (UL) & Economic Capital Buffer (ECAP) under Basel with Excel example

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  • Опубліковано 15 січ 2025

КОМЕНТАРІ • 16

  • @harishca9365
    @harishca9365 7 місяців тому +1

    thank you

  • @mosesmukambojr8707
    @mosesmukambojr8707 Рік тому +1

    Thanks Andre.
    What software do you use to make the simulations?

    • @StachanovSolutionsServices
      @StachanovSolutionsServices  Рік тому +1

      Dear Moses, I've used the Excel plug-in Crystal Ball to create these simulations. Crystal Ball is easy to use and intuitive. However, it is a bit outdated and very expensive. For these reasons, I try not to use it anymore in the more recent videos. Best, André Koch

    • @mosesmukambojr8707
      @mosesmukambojr8707 Рік тому +1

      @@StachanovSolutionsServices Thanks Andre. I want you to know that for all the good and knowledge you've done God will do a great thing in your life. Your videos have really helped and given me the confidence to do my masters.
      Thank you Andre.
      May God bless you.
      On behalf of everyone whose gotten something from your videos may God bless you and the works of your hands.

    • @StachanovSolutionsServices
      @StachanovSolutionsServices  Рік тому +1

      Thank you every much Moses for your kind words. Much appreciated and you are very welcome!

  • @aminahoosainmia
    @aminahoosainmia 4 роки тому

    Hi Andrè , in the excel simulation there is a column sigma pd. What does it refer to?

    • @StachanovSolutionsServices
      @StachanovSolutionsServices  4 роки тому

      Hello Amina, sigma or "σ" is the lower case Greek letter for "s". In financial mathematics it used for the standard deviation, so the risk. PD is the probability of default. Best, André

    • @Manca990
      @Manca990 4 роки тому

      @@StachanovSolutionsServices How do we calculate standard diviation od PD . So how did we get the results 0,5%, 0,3% and 0,6%.

    • @StachanovSolutionsServices
      @StachanovSolutionsServices  4 роки тому

      @@Manca990 Hello these standard deviations are not calculated but given. They are just assumptions Best, André Koch

    • @jimchen8882
      @jimchen8882 Рік тому

      @@StachanovSolutionsServices how can there be a standard deviation for a probability, does pd means probability distribution or something else?

    • @StachanovSolutionsServices
      @StachanovSolutionsServices  Рік тому

      @@jimchen8882 PD stands for probabiliity of default. Say, on average 50 out of cohort of 1.000 loans default. Than the PD is 5%. Since this PD is not the same for all cohorts, groups, or periods there is a standard deviation surrounding this PD. This indicates that the PD can vary. The more it varies, the higher the standard deviation and the more buffer capital the bank needs. Best, André Koch

  • @fernandezdecabral
    @fernandezdecabral 3 роки тому

    there is a mistake in the presentation at the beginning of the clip, when it is explaining the formula of Expected Loss, that in the title says Unexpected Loss

    • @StachanovSolutionsServices
      @StachanovSolutionsServices  3 роки тому

      Yes, you're right. The label in the left-corner says Unexpected Losses. This should be Expected Losses. I will see whether we can fix this. From the context it is clear what is meant. Thanks for your comment. Best, André Koch

  • @elnuralim2951
    @elnuralim2951 4 роки тому +1

    Dear Ander thank you for explanation.IF we have more than thousand costumers in our portfolio it will very complexs to write it with hand to crate sigma and correlation matrix.Do you have any solution for it ?

    • @StachanovSolutionsServices
      @StachanovSolutionsServices  4 роки тому +2

      Hello, for very large data sets Excel might not be the right platform. You might want to look at a mathematical language such as "R". However, in Excel the problem you probably encountered is filling the diagonal axis is the standard deviation matrix. In the following video it is explained how to automate this : ua-cam.com/video/cAblBgyAjrc/v-deo.html

    • @StachanovSolutionsServices
      @StachanovSolutionsServices  4 роки тому +1

      Dear Elnur Alim, I take it that the problem you refer to is filling in the data along the diagonal axis. In this video ua-cam.com/video/cAblBgyAjrc/v-deo.html I show you an Excel trick to solve this issue. Best, André Koch