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Haar wavelets based approach for quantifying credit portfolio loses
dc.contributor.author | Masdemont Soler, Josep |
dc.contributor.author | Ortiz-Gracia, Luís |
dc.contributor.other | Universitat Politècnica de Catalunya. Departament de Matemàtica Aplicada I |
dc.date.accessioned | 2012-01-27T09:35:51Z |
dc.date.available | 2012-01-27T09:35:51Z |
dc.date.created | 2011 |
dc.date.issued | 2011 |
dc.identifier.citation | Masdemont, J.J.; Ortiz-Gracia, L. Haar wavelets based approach for quantifying credit portfolio loses. "Quantitative finance", 2011, p. 1-9. |
dc.identifier.issn | 1469-7688 |
dc.identifier.uri | http://hdl.handle.net/2117/14845 |
dc.description.abstract | 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. |
dc.format.extent | 9 p. |
dc.language.iso | eng |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística |
dc.subject.lcsh | Risk |
dc.title | Haar wavelets based approach for quantifying credit portfolio loses |
dc.type | Article |
dc.subject.lemac | Risc -- Aspectes econòmics |
dc.subject.lemac | Finances |
dc.subject.lemac | Matemàtica financera |
dc.contributor.group | Universitat Politècnica de Catalunya. EGSA - Equacions Diferencials, Geometria, Sistemes Dinàmics i de Control, i Aplicacions |
dc.identifier.doi | 10.1080/14697688.2011.595731 |
dc.description.peerreviewed | Peer Reviewed |
dc.relation.publisherversion | http://dx.doi.org/10.1080/14697688.2011.595731 |
dc.rights.access | Restricted access - publisher's policy |
local.identifier.drac | 9510206 |
dc.description.version | Postprint (published version) |
local.citation.author | Masdemont, J.J.; Ortiz-Gracia, L. |
local.citation.publicationName | Quantitative finance |
local.citation.startingPage | 1 |
local.citation.endingPage | 9 |
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