Haar Wavelets-Based Methods for Credit Risk Portfolio Modeling
In this dissertation we have investigated the credit risk measurement of a credit portfolio by means of the wavelets theory. Banks became subject to regulatory capital requirements under Basel Accords and also to the supervisory review process of capital adequacy, this is the economic capital. Conce...
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| Format: | Others |
| Language: | English |
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Universitat Politècnica de Catalunya
2011
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| Online Access: | http://hdl.handle.net/10803/131054 |