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Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation
Publikováno v:
RECERCAT (Dipòsit de la Recerca de Catalunya)
Recercat. Dipósit de la Recerca de Catalunya
instname
Universitat Jaume I
UPCommons. Portal del coneixement obert de la UPC
Universitat Politècnica de Catalunya (UPC)
Recercat. Dipósit de la Recerca de Catalunya
instname
Universitat Jaume I
UPCommons. Portal del coneixement obert de la UPC
Universitat Politècnica de Catalunya (UPC)
To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a5c53f6c8405257716dd6c6208a64244
https://hdl.handle.net/2072/179279
https://hdl.handle.net/2072/179279
