Resultats globals: 2 registres trobats en 0.02 segons.
Documents de recerca, 2 registres trobats
Documents de recerca 2 registres trobats  
1.
23 p, 815.4 KB Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation / Ortiz-Gracia, Luís ; Masdemont Soler, Josep ; Centre de Recerca Matemàtica
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. [...]
Centre de Recerca Matemàtica 2011 (Prepublicacions del Centre de Recerca Matemàtica ; 1022)  
2.
16 p, 714.1 KB Haar wavelets-based approach for quantifying credit portfolio losses / Masdemont Soler, Josep ; Ortiz-Gracia, Luís ; Centre de Recerca Matemàtica
This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. [...]
Centre de Recerca Matemàtica 2011 (Prepublicacions del Centre de Recerca Matemàtica ; 1017)  

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