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Pavel Okunev

Personal Details

First Name:Pavel
Middle Name:
Last Name:Okunev
Suffix:
RePEc Short-ID:pok9
http://creditquant.biz

Affiliation

(in no particular order)

LBNL

http://math.lbl.gov
San Francisco

UC Berkeley Mathematics Department

http://math.berkeley.edu
Berkeley, CA, US

Wells Fargo Bank

http://www.wellsfargo.com
San Francisco

Bank of America

http://www.bofa.com
San Francisco, CA, US

Research output

as
Jump to: Working papers

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, University Library of Munich, Germany.
  2. Pavel Okunev, 2005. "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model," Risk and Insurance 0506002, EconWPA.
  3. 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.
  4. Pavel Okunev, 2005. "A Simple Approach to Combining Internal and External Operational Loss Data," Finance 0508013, University Library of Munich, Germany.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

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, University Library of Munich, Germany.

    Cited by:

    1. Puzanova, Natalia & Siddiqui, Sikandar & Trede, Mark, 2009. "Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology," Journal of Financial Stability, Elsevier, vol. 5(4), pages 374-392, December.
    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.

  2. Pavel Okunev, 2005. "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model," Risk and Insurance 0506002, EconWPA.

    Cited by:

    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, University Library of Munich, Germany.
    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.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (2) 2005-06-14 2005-07-25
  2. NEP-FIN: Finance (2) 2005-07-03 2005-07-25
  3. NEP-FMK: Financial Markets (1) 2005-07-25
  4. NEP-ICT: Information & Communication Technologies (1) 2005-11-09
  5. NEP-RMG: Risk Management (1) 2005-06-14

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