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Computation of risk contribution in the Vasicek portfolio credit loss model
Author(s) -
Huang Xinzheng,
Oosterlee Cornelis W.
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700661
Subject(s) - vasicek model , robustness (evolution) , portfolio , computation , computer science , econometrics , economics , algorithm , financial economics , finance , interest rate , biochemistry , chemistry , gene
For the calculation of the VaR contribution in the Vasicek one‐factor portfolio credit loss model, two methods, namely the saddlepoint approximation and importance sampling, are very attractive in terms of accuracy, speed and robustness. We explore their connection with the Esscher transform. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)