Haar wavelets-based approach for quantifying credit portfolio losses

DOI10.1080/14697688.2011.595731zbMath1402.91854arXiv0904.4620OpenAlexW2050556541MaRDI QIDQ5245913

Josep J. Masdemont, Luis Ortiz-Gracia

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.4620

zbMATH Keywords

credit riskmathematical financerisk measuresportfolio managementvalue at riskquantitative finance techniqueswavelets in finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Numerical methods for wavelets (65T60) Credit risk (91G40)

Related Items (8)

Quantifying credit portfolio losses under multi-factor models ⋮ Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach ⋮ Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method ⋮ An analytical evaluation method of the operational risk using fast wavelet expansion techniques ⋮ Model-free computation of risk contributions in credit portfolios ⋮ The loss given default of a low-default portfolio with weak contagion ⋮ Efficient wavelets-based valuation of synthetic CDO tranches ⋮ Peaks and jumps reconstruction with \(B\)-splines scaling functions

Cites Work

• A flexible inverse Laplace transform algorithm and its application
• Revealing the implied risk-neutral MGF from options: the wavelet method
• An Improved Method for Numerical Inversion of Laplace Transforms
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

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