Saddlepoint Approximations for Credit Portfolio Distributions with Applications in Equity Risk Management
A study introduces a saddlepoint approximation for credit portfolio losses in continuous time models, providing a more efficient algorithm that greatly improves on recursive methods.
Featured in No. 31 on 3 Jan 2024 · 5 days after release · 2 citations today
- Released
- 29 Dec 2023
- First featured
- No. 31 · 3 Jan 2024
- Citations (Semantic Scholar)
- 2
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4679443
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