SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
Loading...
Searching...
No Matches
irmst_fft_convolution.sas File Reference

This macro evaluate the compound distribution. . More...

Go to the source code of this file.

Detailed Description

This macro evaluate the compound distribution. .

This macro evaluate the compound distribution. Details about the model implemented here can be found in "CreditRisk+ by Fast Fourier Transform", July 2004. YieldCurve, August 2004. Available at SSRN: https://ssrn.com/abstract=1122844 or https://dx.doi.org/10.2139/ssrn.1122844 The main idea is to analyze the default rates conditionally on several sectors of interests, where each sector is given a weight.

Author
SAS Institute INC.
Date
2020

Definition in file irmst_fft_convolution.sas.