3 papers
math.ST2005
Fast Computation Of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model
P. Okunev
We propose a fast algorithm for computing the economic capital, Value at Risk and Greeks in the Gaussian factor model. The algorithm proposed here is much faster than brute force M…
math.NA2005
A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
Pavel Okunev
We propose a fast algorithm for computing the expected tranche loss in the Gaussian factor model. We test it on a 125 name portfolio with a single factor Gaussian model and show th…
math.ST2005
Fast Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model: Using Hermite Expansions for Higher Accuracy
P. Okunev
We propose a fast algorithm for computing the expected tranche loss in the Gaussian factor model. We test it on portfolios ranging in size from 25 (the size of DJ iTraxx Australia)…