Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model
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References listed on IDEAS
- 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. "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model," Risk and Insurance 0506002, EconWPA.
- Pavel Okunev, 2005. "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model," Papers math/0506125, arXiv.org, revised Jun 2005.
More about this item
KeywordsEconomic capital; gaussian factor model; value at risk; unexpected loss; fast algorithm;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-25 (All new papers)
- NEP-CMP-2005-07-25 (Computational Economics)
- NEP-FIN-2005-07-25 (Finance)
- NEP-FMK-2005-07-25 (Financial Markets)
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