最近フーリエ変換に頼るリスク計算方法に関わる論文を読んでいます。 Credit Risk+ assumes portfolio defaults follow a Poisson distribution, and uses a Fast Fourier Transform to solve for the credit loss probability distribution. The logic conn…

In fact, it is easier to solve for the general multivariate Gaussian and then substitute for x with n=2. For x as am n-dimensional vector of independent normal random variables with mean 0 and variance 1, f(x) = (1/(2pi))^(n/2)e^*1. By the…