A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model

This paper presents a new methodology to compute value at risk (VaR) and the marginal VaR contribution (VaRC) in the Vasicek multi-factor model of portfolio credit loss. The wavelet approximation method can be useful to compute non-smooth distributions, often arising in small or concentrated portfol...

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Vydané v:	Japan journal of industrial and applied mathematics Ročník 31; číslo 1; s. 1 - 24
Hlavný autor:	Ishitani, Kensuke
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Tokyo Springer Japan 01.02.2014 Springer Nature B.V
Predmet:	Applications of Mathematics Computational Mathematics and Numerical Analysis Mathematics Mathematics and Statistics Original Paper Wynn’s epsilon algorithm Finite series expansion Vasicek multi-factor model Cubic spline interpolation 60E10 Haar wavelets
ISSN:	0916-7005, 1868-937X
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