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

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