ThaiBMA will remove Daily Variance-Covariance Matrix of the year before 2008 from the iRisk’s main database.
Due to limited technical capacity, Daily Variance-Covariance Matrix of the year before 2008 will be removed from the iRisk’s main database and stored up in the secondary database taking effect on December 23rd, 2013. Therefore, VaR calculations and risk’s tool computations could be functionally performed since January 2nd, 2008 thereafter. However, this improvement will speed up and stabilize iRisk’s calculation system.
For more information, please contact Bond pricing and product development department (iRisk Team) via Tel. 0-2257-0357 ext. 215 and 210 or E-mail address : irisk@thaibma.or.th
28/01/13
iRisk launched a new version of Credit Risk (Credit VaR 1.2) on January 28, 2013
with some changes in the “Mark-to-Market Model” methodology
iRisk has launched a new version of Credit Risk (Credit VaR 1.2) with some changes in the “Mark-to-Market Model” methodology as follows:
- It covers more types of bonds: Corporate Bond, Foreign Bond, and Commercial Paper (both guaranteed and non-guaranteed)
- The dimension of Transition Probability Matrix (TPM) input has been expanded to include rating BB / B / CCC
- Error status is now clarified with the detailed error message
