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Huang, X. (author), Oosterlee, C.W. (author)
We derive two types of saddlepoint approximations for expectations in the form of E[(X - K)+], where X is the sum of n independent random variables and K is a known constant. We establish error convergence rates for both types of approximations in the independently and identically distributed case. The approximations are further extended to...
journal article 2011
Huang, X. (author), Oosterlee, C.W. (author), van der Weide, J.A.M. (author)
This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value at Risk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss distribution. VaR Contribution (VaRC), Expected...
report 2006