Details about Pavel Okunev

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, University Library of Munich, Germany View citations (2)
2. A Simple Approach to Combining Internal and External Operational Loss Data
   Finance, University Library of Munich, Germany
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, University Library of Munich, Germany
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, University Library of Munich, Germany View citations (2)