A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk

Kensuke Ishitani

doi:10.14495/jsiaml.4.13

A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk

JSIAM Letters ◽

10.14495/jsiaml.4.13 ◽

2012 ◽

Vol 4 (0) ◽

pp. 13-16 ◽

Cited By ~ 5

Author(s):

Kensuke Ishitani

Keyword(s):

Credit Risk ◽

Factor Model ◽

Wavelet Expansion ◽

Portfolio Credit Risk ◽

Fast Wavelet ◽

Expansion Technique

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A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model

Japan Journal of Industrial and Applied Mathematics ◽

10.1007/s13160-013-0130-4 ◽

2013 ◽

Vol 31 (1) ◽

pp. 1-24 ◽

Cited By ~ 1

Author(s):

Kensuke Ishitani

Keyword(s):

Credit Risk ◽

Factor Model ◽

Wavelet Expansion ◽

Portfolio Credit Risk ◽

Fast Wavelet ◽

Expansion Technique

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A Fast Wavelet Expansion Technique for Evaluation of Portfolio Credit Risk Under the Vasicek Multi-Factor Model

SSRN Electronic Journal ◽

10.2139/ssrn.2229667 ◽

2012 ◽

Author(s):

Kensuke Ishitani

Keyword(s):

Credit Risk ◽

Factor Model ◽

Wavelet Expansion ◽

Portfolio Credit Risk ◽

Fast Wavelet ◽

Expansion Technique

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Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

The Journal of Computational Finance ◽

10.21314/jcf.2014.286 ◽

2014 ◽

Vol 17 (4) ◽

pp. 59-97 ◽

Cited By ~ 8

Author(s):

Luis Ortiz-Gracia ◽

Josep J. Masdemont

Keyword(s):

Credit Risk ◽

Factor Model ◽

Wavelet Expansion ◽

Fast Wavelet

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An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_11 ◽

2014 ◽

pp. 299-316

Author(s):

Lie-Jane Kao ◽

Po-Cheng Wu ◽

Cheng-Few Lee

Keyword(s):

Risk Management ◽

Credit Risk ◽

Factor Model ◽

Credit Risk Management ◽

Copula Functions ◽

Portfolio Credit Risk

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A Generalized Single Common Factor Model of Portfolio Credit Risk

The Journal of Derivatives ◽

10.3905/jod.2008.702504 ◽

2008 ◽

Vol 15 (3) ◽

pp. 25-40 ◽

Cited By ~ 15

Author(s):

Paul H. Kupiec

Keyword(s):

Credit Risk ◽

Factor Model ◽

Common Factor ◽

Portfolio Credit Risk ◽

Common Factor Model

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Bayesian synthesis of portfolio credit risk with missing ratings

The Journal of Risk ◽

10.21314/jor.2015.301 ◽

2015 ◽

Vol 18 (1) ◽

pp. 45-69

Author(s):

Dror Parnes

Keyword(s):

Credit Risk ◽

Portfolio Credit Risk

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Dependent defaults in models of portfolio credit risk

The Journal of Risk ◽

10.21314/jor.2003.089 ◽

2003 ◽

Vol 6 (1) ◽

pp. 59-92 ◽

Cited By ~ 191

Author(s):

Rüdiger Frey ◽

Alexander McNeil

Keyword(s):

Credit Risk ◽

Portfolio Credit Risk

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Aggregate Credit Risk, Firm Characteristics and Conditional Factor Model

SSRN Electronic Journal ◽

10.2139/ssrn.2122186 ◽

2012 ◽

Author(s):

Hwagyun Kim ◽

Arvind Mahajan ◽

Alex Petkevich

Keyword(s):

Credit Risk ◽

Factor Model ◽

Firm Characteristics

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An Analytical Evaluation Method of the Operational Risk Using Fast Wavelet Expansion Techniques

SSRN Electronic Journal ◽

10.2139/ssrn.2229673 ◽

2012 ◽

Author(s):

Kensuke Ishitani ◽

Kenichi Sato

Keyword(s):

Evaluation Method ◽

Operational Risk ◽

Wavelet Expansion ◽

Analytical Evaluation ◽

Fast Wavelet

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The effects of estimation error on measures of portfolio credit risk

Journal of Banking & Finance ◽

10.1016/s0378-4266(02)00277-7 ◽

2003 ◽

Vol 27 (8) ◽

pp. 1427-1453 ◽

Cited By ~ 26

Author(s):

Gunter Löffler

Keyword(s):

Credit Risk ◽

Estimation Error ◽

Portfolio Credit Risk

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