Access Statistics for Pavel Okunev

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model 0 1 2 512 0 1 7 1,074
A Simple Approach to Combining Internal and External Operational Loss Data 0 0 0 264 1 2 5 1,041
Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model 0 0 0 480 0 0 2 1,070
Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model 0 0 0 284 0 0 3 630
Total Working Papers 0 1 2 1,540 1 3 17 3,815


Statistics updated 2019-07-03