| Títol: | Haar wavelets based approach for quantifying credit portfolio loses |
| Autor: | Masdemont Soler, Josep
Ortiz-Gracia, Luís |
| Altres autors/autores: | Universitat Politècnica de Catalunya. Departament de Matemàtica Aplicada I |
| Matèries: | Àrees temàtiques de la UPC::Matemàtiques i estadística
Risk
Risc -- Aspectes econòmics
Finances
Matemàtica financera |
| Tipus de document: | Article |
| Descripció: | This 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 basis functions and calculate the coefficients of the
approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method
is particularly suitable for non-smooth distributions, often arising in small or concentrated
portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology
we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is
an accurate, robust and fast method, allowing the estimation of the VaR much more quickly
than with a Monte Carlo (MC) method at the same level of accuracy and reliability. |
| Altres identificadors i accés: | Masdemont, J.J.; Ortiz-Gracia, L. Haar wavelets based approach for quantifying credit portfolio loses. "Quantitative finance", 2011, p. 1-9.
1469-7688
http://hdl.handle.net/2117/14845
10.1080/14697688.2011.595731 |
| Disponible al dipòsit: | E-prints UPC
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