R3 chase - Pursuit

Change Point Detection Time Series

  Change Point Detection Methods Kernel Change Point Detection: Kernel change point detection method detects changes in the distribution of ...

  • PCA: Eigenvalues & Eigen Vectors
      Excel (Macro enable workbook) and VBA code: https://drive.google.com/drive/folders/18tIKLLg8MfJ2MYDjLPAWHspEbApVIpGz?usp=sharing PCA: Eige...
  • Low Default Portfolio (PD)
      Modeling Low Default Portfolio (Independent Default Events): Pluto and Tasche method for calculating probability of default for portfolios...
  • Basel Modeling and Validation
    General- Pillar 1- describes the guidelines for calculating the bank’s risk profile and capital requirements. ·          Interna...