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

DOI10.14495/JSIAML.4.13zbMath1271.91108OpenAlexW2065024270MaRDI QIDQ2843200

Kensuke Ishitani

Publication date: 9 August 2013

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=4_0_13&screenID=AF06S010&noVol=4&noIssue=0

zbMATH Keywords

numerical examplesspline interpolationHaar waveletsvalue at riskfinite series expansionVasicek multi-factor modelWynn's epsilon-algorithm

Mathematics Subject Classification ID

Numerical methods for wavelets (65T60) Spline approximation (41A15) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Portfolio theory (91G10) Credit risk (91G40)

Related Items (2)

An analytical evaluation method of the operational risk using fast wavelet expansion techniques ⋮ A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model

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