Xiaoyu Shen

FF Quant Advisory

De Corridor 5

Breukelen Ut, 3621ZA

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

431

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

A New and Efficient Fourier Method for Risk Quantification and Allocation of Credit Portfolios

Number of pages: 32 Posted: 18 Jul 2022 Last Revised: 04 Dec 2023
Fang Fang and Xiaoyu Shen
FF Quant Advisory and FF Quant Advisory
Downloads 291 (188,707)

Abstract:

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credit portfolio loss, factor copula models, Euler allocation, Value-at-Risk, expected shortfall, Fourier-cosine method, Gibbs phenomenon

2.

Fast Calculation of Counterparty Credit Exposures and Associated Sensitivities Using Fourier Series Expansion

Number of pages: 26 Posted: 18 Jun 2023 Last Revised: 27 Nov 2023
Gijs Mast, Xiaoyu Shen and Fang Fang
Delft University of Technology, FF Quant Advisory and FF Quant Advisory
Downloads 140 (368,816)

Abstract:

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Potential Future Exposure, XVA, Expected Exposure, Fourier-cosine Series Expansion, Fourier-sine Series Expansion, the COS Method, Counterparty Credit Risk