000085594 001 __ 85594
000085594 024 8_ $9 driver $a oai:ddd.uab.cat:85594
000085594 035 __ $9 hdl_2072_1177 $a oai:www.recercat.cat:2072/179279
000085594 041 __ $a eng
000085594 080 __ $a 33
000085594 100 1_ $a Ortiz-Gracia, Luís
000085594 245 10 $a Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation
000085594 260 __ $b Centre de Recerca Matemàtica $c 2011
000085594 300 __ $a 23 p.
000085594 520 __ $a To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.
000085594 540 __ $9 info:eu-repo/semantics/openAccess $a L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/
000085594 653 __ $a Risc (Economia)
000085594 653 __ $a Impostos
000085594 653 __ $a Risc de crèdit
000085594 655 _4 $a info:eu-repo/semantics/preprint
000085594 700 1_ $a Masdemont Soler, Josep
000085594 710 1_ $a Centre de Recerca Matemàtica
000085594 830 __ $a Prepublicacions del Centre de Recerca Matemàtica ; $v 1022
000085594 856 40 $p 23 $s 834981 $u http://ddd.uab.cat/pub/prepub/2011/hdl_2072_179279/Pr1022.pdf
000085594 856 42 $3 Adreça alternativa $u http://hdl.handle.net/2072/179279
000085594 980 __ $a PREPUB $b UAB