Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
نویسندگان
چکیده
منابع مشابه
Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value-atrisk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss distribution. The VaR contribution (VaRC), expected shortfall (ES) and ES contribution (ESC) can all be...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2007
ISSN: 1460-1559
DOI: 10.21314/jcf.2007.165