Add to ORKGWe design a meta-model for the loss distribution of a large credit portfolio in the Gaussian copula model. Using both the Wiener chaos expansion on the systemic economic factor and a Gaussian approximation on the associated truncated loss, we significantly reduce the computational time needed for sampling the loss and therefore estimating risk measures on the loss distribution. The accuracy of our method is confirmed by many numerical examples
Abstract. In this paper we present a model to price and hedge basket credit derivatives and collater...
Formulae for the distribution of a counting variable representing the losses of a loan portfolio, th...
Credit risk models widely used in the financial market nowadays assume that losses are normally dist...
We design a meta-model for the loss distribution of a large credit portfolio in the Gaussian copula ...
The measurement of portfolio credit risk focuses on rare but significant large-loss events. This pap...
In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model, the use...
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, ...
In this work, we investigate the challenging problem of estimating credit risk measures of portfolio...
This paper develops approximations for the distribution of losses from default in a normal copula fr...
This paper proposes a new class of copula-based dynamic models for high dimension conditional distri...
Using particle system methodologies we study the propagation of financial distress in a network of f...
Using particle system methodologies we study the propagation of financial distress in a network of f...
This paper develops approximations for the distribution of losses from default in a normal copula f...
In this paper we develop efficient Monte Carlo methods for large credit portfolios. We assume the de...
Measuring and managing credit risk constitute one of the most important processes within bank risk m...
Abstract. In this paper we present a model to price and hedge basket credit derivatives and collater...
Formulae for the distribution of a counting variable representing the losses of a loan portfolio, th...
Credit risk models widely used in the financial market nowadays assume that losses are normally dist...
We design a meta-model for the loss distribution of a large credit portfolio in the Gaussian copula ...
The measurement of portfolio credit risk focuses on rare but significant large-loss events. This pap...
In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model, the use...
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, ...
In this work, we investigate the challenging problem of estimating credit risk measures of portfolio...
This paper develops approximations for the distribution of losses from default in a normal copula fr...
This paper proposes a new class of copula-based dynamic models for high dimension conditional distri...
Using particle system methodologies we study the propagation of financial distress in a network of f...
Using particle system methodologies we study the propagation of financial distress in a network of f...
This paper develops approximations for the distribution of losses from default in a normal copula f...
In this paper we develop efficient Monte Carlo methods for large credit portfolios. We assume the de...
Measuring and managing credit risk constitute one of the most important processes within bank risk m...
Abstract. In this paper we present a model to price and hedge basket credit derivatives and collater...
Formulae for the distribution of a counting variable representing the losses of a loan portfolio, th...
Credit risk models widely used in the financial market nowadays assume that losses are normally dist...