Título:
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Quantifying credit portfolio losses under multi-factor models
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Autor/a:
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Colldeforns Papiol, Gemma; Ortiz Gracia, Luis; Oosterlee, C. W. (Cornelis W.)
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Otros autores:
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Universitat de Barcelona |
Abstract:
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In this work, we investigate the challenging problem of estimating credit risk measures of portfolios with exposure concentration under the multi-factor Gaussian and multi-factor t-copula models. It is well-known that Monte Carlo (MC) methods are highly demanding from the computational point of view in the aforementioned situations. We present efficient and robust numerical techniques based on the Haar wavelets theory for recovering the cumulative distribution function of the loss variable from its characteristic function. To the best of our knowledge, this is the first time that multi-factor t-copula models are considered outside the MC framework. The analysis of the approximation error and the results obtained in the numerical experiments section show a reliable and useful machinery for credit risk capital measurement purposes in line with Pillar II of the Basel Accords. |
Materia(s):
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-Risc (Economia) -Valor (Economia) -Anàlisi factorial -Transformacions de Fourier -Risk -Value (Economics) -Factor analysis -Fourier transformations |
Derechos:
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(c) Gordon and Breach Science Publishers, 2019
info:eu-repo/semantics/embargoedAccess |
Tipo de documento:
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Artículo Artículo - Versión aceptada |
Editor:
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Gordon and Breach Science Publishers
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