著者

Kensuke Ishitani

出版者

The Japan Society for Industrial and Applied Mathematics

雑誌

JSIAM Letters (ISSN:18830609)

巻号頁・発行日

vol.4, pp.13-16, 2012 (Released:2012-04-16)

参考文献数

6

被引用文献数

5 5 2

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This paper presents a new methodology to compute VaR in the portfolio credit loss model. The Wavelet Approximation can be useful to compute non-smooth distributions, often arising in small or concentrated portfolios. We contribute to this technique by extending the Wavelet Approximation for Vasicek one-factor model to multi-factor model. Key features of our new algorithm are: (i) a finite series expansion of the wavelet scaling coefficients, (ii) Wynn's epsilon-algorithm to accelerate convergence of those series, and (iii) an efficient spline interpolation to calculate the Laplace transforms. We illustrate the effectiveness of our algorithm through numerical examples.