Quantifying credit portfolio losses under realistic assumptions - including correlated defaults, stochastic loss given default (LGD), and dependencies between a counterparties' probability of default ...
This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value-atrisk (VaR), the risk measure chosen in the Basel ...
Saddlepoint approximation techniques offer a powerful framework for deriving accurate approximations to probability distributions and tail probabilities by exploiting the moment generating function of ...
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