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

DOI10.1007/S13160-013-0130-4MaRDI QIDQ2452285zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 918590 (Why is no real title available?)
• A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
• Analysis of credit event impact with self-exciting intensity model
• On a Device for Computing the e m (S n ) Transformation

Cited in

(6)

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

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