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http://hdl.handle.net/2445/164735
Title: | Model-free computation of risk contributions in credit portfolios |
Author: | Leitao, Alvaro Ortiz Gracia, Luis |
Keywords: | Risc de crèdit Estadística no paramètrica Mètode de Montecarlo Credit risk Nonparametric statistics Monte Carlo method |
Issue Date: | Oct-2020 |
Publisher: | Elsevier B.V. |
Abstract: | In this work, we propose a non-parametric density estimation technique for measuring the risk in a credit portfolio, aiming at efficiently computing the marginal risk contributions. The novel method is based on wavelets, and we derive closed-form expressions to calculate the Value-at-Risk (VaR), the Expected Shortfall (ES) as well as the individual risk contributions to VaR (VaRC) and ES (ESC). We consider the multi-factor Gaussian and t-copula models for driving the defaults. The results obtained along the numerical experiments show the impressive accuracy and speed of this method when compared with crude Monte Carlo simulation (...) |
Note: | Versió postprint del document publicat a: https://www.sciencedirect.com/science/article/abs/pii/S0096300320303155 |
It is part of: | Applied Mathematics and Computation, 2020, vol. 382, num. October, p. 125351 |
URI: | http://hdl.handle.net/2445/164735 |
ISSN: | 0096-3003 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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File | Description | Size | Format | |
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700799.pdf | 1.37 MB | Adobe PDF | View/Open |
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