A sparse grid approach to balance sheet risk measurement
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We first describe, in a stylised way, the assets and liabilities dynamics that are used for the numerical estimation of the b...
| Main Authors: | , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196510.pdf |