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http://hdl.handle.net/2445/164735
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DC Field | Value | Language |
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dc.contributor.author | Leitao, Alvaro | - |
dc.contributor.author | Ortiz Gracia, Luis | - |
dc.date.accessioned | 2020-06-08T08:10:58Z | - |
dc.date.available | 2022-10-31T06:10:23Z | - |
dc.date.issued | 2020-10 | - |
dc.identifier.issn | 0096-3003 | - |
dc.identifier.uri | http://hdl.handle.net/2445/164735 | - |
dc.description.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 (...) | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier B.V. | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://www.sciencedirect.com/science/article/abs/pii/S0096300320303155 | - |
dc.relation.ispartof | Applied Mathematics and Computation, 2020, vol. 382, num. October, p. 125351 | - |
dc.rights | cc-by-nc-nd (c) Elsevier B.V., 2020 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Risc de crèdit | - |
dc.subject.classification | Estadística no paramètrica | - |
dc.subject.classification | Mètode de Montecarlo | - |
dc.subject.other | Credit risk | - |
dc.subject.other | Nonparametric statistics | - |
dc.subject.other | Monte Carlo method | - |
dc.title | Model-free computation of risk contributions in credit portfolios | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 700799 | - |
dc.date.updated | 2020-06-08T08:10:59Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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700799.pdf | 1.37 MB | Adobe PDF | View/Open |
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