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Details about Pavel Okunev

E-mail:
Homepage:http://creditquant.biz
Workplace:LBNL
UC Berkeley Mathematics Department
Wells Fargo Bank
Bank of America

Access statistics for papers by Pavel Okunev.

Last updated 2005-12-08. Update your information in the RePEc Author Service.

Short-id: pok9

Working Papers

2005

  1. A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
    Risk and Insurance, EconWPA Downloads View citations
  2. A Simple Approach to Combining Internal and External Operational Loss Data
    Finance, EconWPA Downloads
  3. Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model
    Risk and Insurance, EconWPA Downloads
  4. Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model
    Finance, EconWPA Downloads View citations
 

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