Valuation and Optimization of Credit Risk using a Portfolio Model
In this paper I study a model for credit risk in a portfolio of sovereign bonds, based on (van der Hoorn, 2009). The model is based on historical credit rating changes and the joint distribution of the losses for dier- ent bonds is modeled with an assumption of an underlying multivariate Gaussian variable. Dierent risk measures for the portfolio are calculated using Monte Carlo simulations and the
