Market Research from Yield Curve.com
We are pleased to welcome back Mario Melchiori, from the Universidad Nacional del Litoral in Argentina, who has contributed a fine article on the methodology behind CreditRisk+ using Fast Fourier Transform.
This is a technical article that examines in detail the methodology behind this risk measurement tool, used for risk assessment of credit portfolios.
The full Excel, R and MatLab codes that are alluded to in the article are available here: Excel, R and MatLab.
The Abstract is available here.
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