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Persistent link: https://www.econbiz.de/10010188301
This paper presents a new methodology to compute value at risk (VaR) and the marginal VaR contribution (VaRC) in the Vasicek multi-factor model of portfolio credit loss. The wavelet approximation method can be useful to compute non-smooth distributions, often arising in small or concentrated...
Persistent link: https://www.econbiz.de/10013064413