2 papers
q-fin.RM2011
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…
q-fin.RM2009
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…