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q-fin.RM2009
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…
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…