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Pavel Okunev

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This is information that was supplied by Pavel Okunev in registering through RePEc. If you are Pavel Okunev , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Pavel
Middle Name:
Last Name: Okunev
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RePEc Short-ID: pok9

Email:
Homepage: http://creditquant.biz
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Affiliation

(in no particular order)

Works

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Working papers

  1. Pavel Okunev, 2005. "Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model," Finance 0506015, EconWPA.
  2. Pavel Okunev, 2005. "Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model," Risk and Insurance 0507004, EconWPA.
  3. Pavel Okunev, 2005. "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model," Risk and Insurance 0506002, EconWPA.
  4. Pavel Okunev, 2005. "A Simple Approach to Combining Internal and External Operational Loss Data," Finance 0508013, EconWPA.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (2) 2005-06-17 2005-08-07. Author is listed
  2. NEP-FIN: Finance (2) 2005-07-03 2005-07-25. Author is listed
  3. NEP-FMK: Financial Markets (1) 2005-08-05. Author is listed
  4. NEP-ICT: Information & Communication Technologies (1) 2005-11-10. Author is listed
  5. NEP-RMG: Risk Management (1) 2005-06-17. Author is listed

Statistics

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Corrections

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