A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk (Q2843200)
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scientific article; zbMATH DE number 6197367
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| English | A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk |
scientific article; zbMATH DE number 6197367 |
Statements
A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk (English)
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9 August 2013
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Vasicek multi-factor model
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Haar wavelets
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finite series expansion
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Wynn's epsilon-algorithm
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spline interpolation
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value at risk
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numerical examples
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0.9850773215293884
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0.9826577305793762
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0.8700039982795715
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0.8180108070373535
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0.8165043592453003
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