Quantifying credit portfolio losses under multi-factor models

DOI10.1080/00207160.2018.1447666MaRDI QIDQ5031704zbMATH OpenOpenAlexFDO

Authors Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee

Publication date 16 February 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2445/141003

zbMATH Keywords

\(t\)-copulacredit riskexpected shortfallFourier transform inversionGaussian copulaHaar waveletsmulti-factor modelsvalue-at-risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60) Portfolio theory (91G10) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
• A novel pricing method for European options based on Fourier-cosine series expansions
• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• Haar wavelets-based approach for quantifying credit portfolio losses
• scientific article; zbMATH DE number 1424149 (Why is no real title available?)
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Peaks and jumps reconstruction with \(B\)-splines scaling functions
• Quadratic transform approximation for CDO pricing in multifactor models
• Quantitative risk management. Concepts, techniques and tools
• Regulatory capital modeling for credit risk
• Robust pricing of European options with wavelets and the characteristic function
• Ten Lectures on Wavelets

Cited in

(7)

• Adaptive integration for multi-factor portfolio credit loss models
• 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
• PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
• Metamodel of a large credit risk portfolio in the Gaussian copula model
• Haar wavelets-based approach for quantifying credit portfolio losses
• Multivariate Credibility for Aggregate Loss Models

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• QRM

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