Exploració per autor "Ortiz-Gracia, Luís"
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Haar wavelets based approach for quantifying credit portfolio loses
Masdemont Soler, Josep; Ortiz-Gracia, Luís (2011)
Article
Accés restringit per política de l'editorialThis paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet ...