An analytical evaluation method of the operational risk using fast wavelet expansion techniques

DOI10.1007/s10690-013-9168-1zbMath1273.91458OpenAlexW3122163081MaRDI QIDQ370885

Kensuke Ishitani, Ken-ichi Sato

Publication date: 20 September 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-013-9168-1

zbMATH Keywords

Haar waveletcompound Poisson modeloperational riskcubic spline interpolationdouble exponential formulaWynn's epsilon algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• Double exponential formulas for numerical integration
• A robust double exponential formula for Fourier-type integrals
• Discovery of the double exponential transformation and its developments
• A double exponential formula for the Fourier transforms
• A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
• Haar wavelets-based approach for quantifying credit portfolio losses
• On a Device for Computing the e m (S n ) Transformation

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