摘要 : We propose a new method that extends the saddlepoint approximation to allocate credit risk. This method applies a Taylor expansion to the inverse Laplace transform around an arbitrary point to characterize the loss distribution of... 展开
作者 | Garcia-Cespedes~ Ruben Moreno~ Manuel |
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作者单位 | |
期刊名称 | 《The journal of computational finance》 |
页码/总页数 | 1-37 / 37 |
语种 | 英语 |
关键词 | credit risk macroprudential supervision saddlepoint risk allocation value-at-risk expected shortfall |
DOI | 10.21314/JCF.2016.313 |
馆藏号 | F-440 |