Migration matrices are widely used in risk management. In credit risk management a loan is assigned to one of a few rating categories and the probability of future rating is determined by a migration matrix. Portfolio’s value depends on the rating and on market states. To find an optimal portfolio one should consider migration matrices and the dynamics of market changes. On an exemplary portfolio we will show that differences in migration matrices that result both from the state of economy as well as the estimation method effect considerably the VaR figures

• Legal notice:
  

  Copyright (c) Pielaszek Research, all rights reserved.
  The above materials, including auxiliary resources, are subject to Publisher's copyright and the Author(s) intellectual rights. Without limiting Author(s) rights under respective Copyright Transfer Agreement, no part of the above documents may be reproduced without the express written permission of Pielaszek Research, the Publisher. Express permission from the Author(s) is required to use the above materials for academic purposes, such as lectures or scientific presentations.
  In every case, proper references including Author(s) name(s) and URL of this webpage: https://science24.com/paper/29941 must be provided.

1. Analysis of stability of  operational risk models
2. Modeling correlations in operational risk
3. Mixed models and ensemble methods and their performance in LGD modeling.
4. Propensity score matching and its application to risk drivers selection in financial setting
5. Influence of motherhood on research activity of women on the example of Warsaw University of Life Sciences
6. Models of rating dynamics
7. Selekcja i klasyfikacja spółek notowanych na Warszawskiej Giełdzie Papierów Wartościowych przy pomocy pakietu SAS