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

DOI10.1007/s13160-013-0130-4zbMath1298.91187OpenAlexW3124461199MaRDI QIDQ2452285

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

zbMATH Keywords

Haar waveletscubic spline interpolationfinite series expansionVasicek multi-factor model

Mathematics Subject Classification ID

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

Related Items (1)

Vasicek model with mixed-exponential jumps and its applications in finance and insurance

Cites Work

• Unnamed Item
• Analysis of credit event impact with self-exciting intensity model
• A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
• On a Device for Computing the e m (S n ) Transformation

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