85594 hdl_2072_1177 oai:www.recercat.cat:2072/179279 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. eng Ortiz-Gracia, Luís Masdemont Soler, Josep Centre de Recerca Matemàtica Centre de Recerca Matemàtica 2011 Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation 23 p. 33 Risc (Economia) Impostos Risc de crèdit info:eu-repo/semantics/preprint Prepublicacions del Centre de Recerca Matemàtica ; 1022 http://ddd.uab.cat/pub/prepub/2011/hdl_2072_179279/Pr1022.pdf 834981 23 Adreça alternativa http://hdl.handle.net/2072/179279 PREPUB UAB info:eu-repo/semantics/openAccess 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/ driver oai:ddd.uab.cat:85594