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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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