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

DOI10.1007/S10690-013-9168-1MaRDI QIDQ370885zbMATH OpenOpenAlexFDO

Authors 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

compound Poisson modelcubic spline interpolationdouble exponential formulaHaar waveletoperational riskWynn's epsilon algorithm

Mathematics Subject Classification ID

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

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Cites work

• A double exponential formula for the Fourier transforms
• A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
• A robust double exponential formula for Fourier-type integrals
• Discovery of the double exponential transformation and its developments
• Double exponential formulas for numerical integration
• Haar wavelets-based approach for quantifying credit portfolio losses
• scientific article; zbMATH DE number 834472 (Why is no real title available?)
• scientific article; zbMATH DE number 918590 (Why is no real title available?)
• On a Device for Computing the e m (S n ) Transformation

Cited in

(2)

• A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model
• Computing tails of compound distributions using direct numerical integration

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