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A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Car...
Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
Haar Wavelets-Based Quantifying Credit Portfolio Losses
2010/11/1
This paper proposes a new methodology to compute Value at Risk (VaR) for quan-tifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a nite combinatio...