Rank: 3200 based on 12 downloads (last 30 days) and 2 files submitted
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Pavel Okunev

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LBNL, UC Berkeley, Wells Fargo Bank, Bank of America

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13 Mar 2006 Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model Computes Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model Author: Pavel Okunev cdo, analysis, finance, modeling, gaussian factor model, loan portfolio 5 1
  • 5.0
5.0 | 1 rating
07 Nov 2005 Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio An algorithm for fast computation of the expected tranche loss of CDO credit portfolio. Author: Pavel Okunev finance, modeling, analysis, cdo, credit portfolio, tranche loss 7 5
  • 4.5
4.5 | 2 ratings
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28 May 2006 Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio An algorithm for fast computation of the expected tranche loss of CDO credit portfolio. Author: Pavel Okunev Okunev, Pavel

Dear Reto Angliker,
 Thanks for your comment. The code implementing the Hermite expansion can be found at www.creditquant.biz .The Q&A page there also provides more details on computing expansion coefficients.
Regards,
-Pavel

22 Apr 2006 Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio An algorithm for fast computation of the expected tranche loss of CDO credit portfolio. Author: Pavel Okunev Angliker, Reto

I find the idea of using Hermite Expansions quite interesting. It seems to me however that the calculation of the coefficients might be quite cumbersome in the case of an inhomogenous portfolio. Unfortunately there are not more details in your paper on implementation and there seems to be no code for the Hermite Expansion algorithm on the website. Otherwise great job! Regards, Reto
16 Mar 2006 Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model Computes Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model Author: Pavel Okunev Tingting, Fan

Thank you for your hard work.
30 Nov 2005 Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio An algorithm for fast computation of the expected tranche loss of CDO credit portfolio. Author: Pavel Okunev Okunev, Pavel

Dear Dimitri,
The copyright is a formality that people usually use. Please feel free to use the code.
-Pavel
30 Nov 2005 Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio An algorithm for fast computation of the expected tranche loss of CDO credit portfolio. Author: Pavel Okunev Shvorob, Dimitri

Several lines of code? I am sure that derivation of the formulae is far from trivial - and is in public domain - but copyrighting the implementation seems to be somewhat of an overkill.
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analysis, cdo, finance, modeling, copula portfolio model
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13 Mar 2006 Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model Computes Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model Author: Pavel Okunev cdo, analysis, finance, modeling, gaussian factor model, loan portfolio 5 1
  • 5.0
5.0 | 1 rating
07 Nov 2005 Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio An algorithm for fast computation of the expected tranche loss of CDO credit portfolio. Author: Pavel Okunev finance, modeling, analysis, cdo, credit portfolio, tranche loss 7 5
  • 4.5
4.5 | 2 ratings

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