1 citations · 1 across the 4 of their papers we have counts for
4 papers
KISS approach to credit portfolio modeling
Mikhail Voropaev
A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarki…
Analytical Framework for Credit Portfolios
Mikhail Voropaev
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow ca…
Analytical Framework for Credit Portfolios. Part I: Systematic Risk
Mikhail Voropaev
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow ca…
Variance-covariance based risk allocation in credit portfolios: analytical approximation
Mikhail Voropaev
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Mer…