Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation
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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Even in the simple Vasicek one-factor 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 approximate analytical formulae. In this note, we develop formulae according to two different approaches: the granularity adjustment approach initiated by M. Gordy a...
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Determining contributions to overall portfolio risk is an important topic in risk management. For positions (instruments and sub-portfolios), this problem has been well studied, and a significant theory built, around the calculation of marginal contributions. We consider the problem of determining the contributions to portfolio risk of risk factors. This cannot be addressed through an immediate...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2014
ISSN: 1460-1559
DOI: 10.21314/jcf.2014.286