Saddlepoint approximation

MaRDI QIDQ4660855zbMATH OpenFDO

Authors Michael B. Gordy

Publication date 4 April 2005

zbMATH Keywords

CreditRisk\(^+\)idiosyncratic severity risk

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47)

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Cited in

(13)

• Generalized saddle version of the level method.
• Saddle quantities and applications
• Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
• Saddlepoint approximations
• Approximate and estimated saddlepoint approximations
• Two Types of Approximate Saddle Points
• Simulation-assisted saddlepoint approximation
• scientific article; zbMATH DE number 1165672 (Why is no real title available?)
• Saddlepoint approximation methods in financial engineering
• Efficient risk measures calculations for generalized CreditRisk\(^+\) models
• Saddlepoint methods for conditional expectations with applications to risk management
• Saddle point theorems
• Approximating the distribution function of risk

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