Model-free computation of risk contributions in credit portfolios
DOI10.1016/J.AMC.2020.125351zbMATH Open1461.91355OpenAlexW2986315332MaRDI QIDQ2185453FDOQ2185453
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
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expected shortfallvalue-at-riskcredit risknon-parametric density estimationShannon waveletsportfolio risk contributions
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Credit risk (91G40)
Cites Work
- Theory of Reproducing Kernels
- Ten Lectures on Wavelets
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- Quantitative risk management. Concepts, techniques and tools
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- Haar wavelets-based approach for quantifying credit portfolio losses
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Importance sampling for portfolio credit risk
- Shannon wavelets theory
- Regulatory capital modeling for credit risk
- Concentration Risk in Credit Portfolios
- Simulating risk contributions of credit portfolios
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
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- Estimation of risk contributions with MCMC
- Capital allocation for credit portfolios with kernel estimators
Cited In (12)
- Spline local basis methods for nonparametric density estimation
- Quantifying credit portfolio losses under multi-factor models
- Capital allocation for credit portfolios with kernel estimators
- Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method
- Measuring marginal risk contributions in credit portfolios
- A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model
- Haar wavelets-based approach for quantifying credit portfolio losses
- Estimation of risk contributions with MCMC
- Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
- 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
Uses Software
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