搜索结果: 1-1 共查到“信贷理论 Quantifying Credit Portfolio Losses”相关记录1条 . 查询时间(0.078 秒)
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...