Quantifying credit portfolio losses under multi-factor models

DOI10.1080/00207160.2018.1447666zbMath1499.91167OpenAlexW2793950976MaRDI QIDQ5031704

Luis Ortiz-Gracia, Gemma Colldeforns-Papiol, Cornelis W. Oosterlee

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/141003

zbMATH Keywords

credit riskvalue-at-riskHaar waveletsexpected shortfallGaussian copulamulti-factor models\(t\)-copulaFourier transform inversion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Portfolio theory (91G10) Credit risk (91G40)

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• Peaks and jumps reconstruction with \(B\)-splines scaling functions
• A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
• Robust Pricing of European Options with Wavelets and the Characteristic Function
• REGULATORY CAPITAL MODELING FOR CREDIT RISK
• Ten Lectures on Wavelets
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Quadratic Transform Approximation for CDO Pricing in Multifactor Models
• Haar wavelets-based approach for quantifying credit portfolio losses
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

This page was built for publication: Quantifying credit portfolio losses under multi-factor models