Model-free computation of risk contributions in credit portfolios

DOI10.1016/J.AMC.2020.125351MaRDI QIDQ2185453zbMATH OpenOpenAlexFDO

Authors Álvaro Leitao, Luis Ortiz-Gracia

Publication date 4 June 2020

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2020.125351

zbMATH Keywords

credit riskexpected shortfallnon-parametric density estimationportfolio risk contributionsShannon waveletsvalue-at-risk

Mathematics Subject Classification ID

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

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Cites work

• A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Capital allocation for credit portfolios with kernel estimators
• Concentration Risk in Credit Portfolios
• Estimation of risk contributions with MCMC
• Haar wavelets-based approach for quantifying credit portfolio losses
• scientific article; zbMATH DE number 5723836 (Why is no real title available?)
• scientific article; zbMATH DE number 1313655 (Why is no real title available?)
• scientific article; zbMATH DE number 918590 (Why is no real title available?)
• Importance sampling for portfolio credit risk
• Quantitative risk management. Concepts, techniques and tools
• Regulatory capital modeling for credit risk
• Shannon wavelets theory
• Simulating risk contributions of credit portfolios
• Ten Lectures on Wavelets
• Theory of Reproducing Kernels

Cited in

(12)

• Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
• A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model
• A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
• Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge
• Exposure at default models with and without the credit conversion factor
• Capital allocation for credit portfolios with kernel estimators
• Quantifying credit portfolio losses under multi-factor models
• Estimation of risk contributions with MCMC
• Haar wavelets-based approach for quantifying credit portfolio losses
• Measuring marginal risk contributions in credit portfolios
• Spline local basis methods for nonparametric density estimation
• Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method

Describes a project that uses

Uses Software

• QRM

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