Efficient Concentration Risk Measurement in Credit Portfolios with Haar Wavelets

Submitted on 29th July 2015

1 Portfolio Credit Risk Modeling 2 Haar Wavelets Method for the Laplace Transform Inversion 3 The WA Method to Quantify Losses 4 Option Pricing with Wavelets and the Characteristic Function 5 Conclusions

Universitat Politecnica de CatalunyaCentre de Recerca Matematica & Centrum voor Wiskunde en Informatica
Length of Resource
38 pages
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Josep J. Masdemont and Luis Ortiz-Gracia
Date Published
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Resource Type