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Haar wavelets based approach for quantifying credit portfolio loses

Autor
Masdemont, J.J.; Ortiz-Gracia, L.
Tipus d'activitat
Article en revista
Revista
Quantitative finance
Data de publicació
2011
Pàgina inicial
1
Pàgina final
9
DOI
https://doi.org/10.1080/14697688.2011.595731 Obrir en finestra nova
Repositori
http://hdl.handle.net/2117/14845 Obrir en finestra nova
URL
http://dx.doi.org/10.1080/14697688.2011.595731 Obrir en finestra nova
Resum
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 I...
Citació
Masdemont, J.J.; Ortiz-Gracia, L. Haar wavelets based approach for quantifying credit portfolio loses. "Quantitative finance", 2011, p. 1-9.
Grup de recerca
SD - Sistemes Dinàmics de la UPC

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