A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
نویسندگان
چکیده
منابع مشابه
Credit Risk Contributions under the Vasicek One-factor Model: a Fast Wavelet Expansion Approximation
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 quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In...
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In this paper we generalize Vasicek’s Asymptotic Single Risk Factor (ASRF) solution to multiple factors organized with a particular hierarchical structure. We use this model to investigate credit portfolio loss. In this hierarchical factor model, asset returns of a company depend on a global factor, a sector factor, and an idiosyncratic risk factor. All companies share the same global factor an...
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This paper develops rare event simulation methods for the estimation of portfolio credit risk — the risk of losses to a portfolio resulting from defaults of assets in the portfolio. Portfolio credit risk is measured through probabilities of large losses, which are typically due to defaults of many obligors (sources of credit risk) to which a portfolio is exposed. An essential element of a portf...
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Even in the simple Vasicek credit portfolio model, the exact contributions to credit value-at-risk cannot be calculated without Monte-Carlo simulation. As this may require a lot of computational time, there is a need for approximative analytical formulae. In this note, we develop formulae according to two different approaches: the granularity adjustment approach initiated by M. Gordy and T. Wil...
متن کاملKeyCredit risk, Portfolio credit risk model, Portfolio optimisation, Genetic
This paper proposes a new combination of quantitative models and Genetic Algorithms for the task of optimising credit portfolios. Currently, quantitative portfolio credit risk models are used to calculate portfolio risk figures, e. g. expected losses, unexpected losses and risk contributions. Usually, this information is used for optimising the risk-return profile of the portfolio. We show that...
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ژورنال
عنوان ژورنال: JSIAM Letters
سال: 2012
ISSN: 1883-0609,1883-0617
DOI: 10.14495/jsiaml.4.13