Meta-model of a large credit risk portfolio in the Gaussian copula model - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2019

Meta-model of a large credit risk portfolio in the Gaussian copula model

Abstract

We design a meta-model for the loss distribution of a large credit portfolio in the Gaussian copula model. Using both the Wiener chaos expansion on the systemic economic factor and a Gaussian approximation on the associated truncated loss, we significantly reduce the computational time needed for sampling the loss and therefore estimating risk measures on the loss distribution. The accuracy of our method is confirmed by many numerical examples.
Fichier principal
Vignette du fichier
chaos_decomposition_HAL_version_2_submission.pdf (1.67 Mo) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-02291548 , version 1 (19-09-2019)
hal-02291548 , version 2 (08-10-2019)

Identifiers

  • HAL Id : hal-02291548 , version 2

Cite

Florian Bourgey, Emmanuel Gobet, Clément Rey. Meta-model of a large credit risk portfolio in the Gaussian copula model. 2019. ⟨hal-02291548v2⟩
455 View
347 Download

Share

Gmail Facebook X LinkedIn More