Credit Risk Contributions under the Vasicek One-factor Model : a Fast Wavelet Expansion Approximation

@inproceedings{OrtizGracia2011CreditRC,
  title={Credit Risk Contributions under the Vasicek One-factor Model : a Fast Wavelet Expansion Approximation},
  author={Luis Ortiz-Gracia and Josep J. Masdemont},
  year={2011}
}
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. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation… CONTINUE READING

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