A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
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- 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.
- 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.
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KeywordsMoody's Fourier Transform method; portfolio loss distribution; DJCDX; CDS portfolio; CDS; expected tranche loss;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-14 (All new papers)
- NEP-CMP-2005-06-14 (Computational Economics)
- NEP-RMG-2005-06-14 (Risk Management)
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