Utilizad este identificador para citar o enlazar este documento: http://hdl.handle.net/2072/179279

Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation
Ortiz-Gracia, Luís; Masdemont Soler, Josep
Centre de Recerca Matemàtica
To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.
2011
33 - Economia
Risc (Economia)
Impostos
Risc de crèdit
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23 p.
Edición preliminar
Centre de Recerca Matemàtica
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