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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Bibliographic Details

Published in:	Japan journal of industrial and applied mathematics Vol. 31; no. 1; pp. 1 - 24
Main Author:	Ishitani, Kensuke
Format:	Journal Article
Language:	English
Published:	Tokyo Springer Japan 01.02.2014 Springer Nature B.V
Subjects:	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
Online Access:	Get full text
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