A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model

DOI10.1007/S13160-013-0130-4zbMATH Open1298.91187OpenAlexW3124461199MaRDI QIDQ2452285FDOQ2452285

Authors: Kensuke Ishitani 

Publication date: 2 June 2014

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-013-0130-4

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• A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
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zbMATH Keywords

Haar waveletscubic spline interpolationfinite series expansionVasicek multi-factor model

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Title not available (Why is that?)
• On a Device for Computing the e m (S n ) Transformation
• A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
• Analysis of credit event impact with self-exciting intensity model

Cited In (6)

• Quantifying credit portfolio losses under multi-factor models
• Haar wavelets-based approach for quantifying credit portfolio losses
• A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
• An analytical evaluation method of the operational risk using fast wavelet expansion techniques
• Model-free computation of risk contributions in credit portfolios
• Vasicek model with mixed-exponential jumps and its applications in finance and insurance

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