• Haar wavelets based approach for quantifying credit portfolio loses 

    Masdemont Soler, Josep; Ortiz-Gracia, Luís (2011)
    Accés restringit per política de l'editorial
    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 ...