Generalized CreditRisk+ model and applications

Jakub Szotek

Abstract


In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.

Keywords


credit risk, CreditRisk+, random variable distribution, probability generating function, applications

Mathematics Subject Classification (2010)


91B28, 91B30.

References


Feller, W. "An introduction to probability theory and its applications." Vol. I. 3rd ed. New York-London-Sydney: John Wiley & Sons, Inc., 1968.

Hodges, J.L. and Le Cam, Jr., L. "The Poisson approximation to the Poisson binomial distribution." Ann. Math. Statist. 31 (1960): 737-740.

"CreditRisk+. A Credit Risk Management Framework." Credit Suisse First Boston, 1997.


Full Text: PDF

Download statistics: 2133

Licencja Creative Commons
This article by Jakub Szotek is governed by the Creative Commons Attribution-ShareAlike 4.0 International(CC BY-SA 4.0) licence.


e-ISSN: 2300-133X, ISSN: 2081-545X

Since 2017 Open Access in De Gruyter and CrossCheck access cofinanced by The Ministry of Science and Higher Education - Republic of Poland - DUN 775/P-DUN/2017 see more

The Journal is indexed in:
and others see Abstracting and Indexing list

AUPC SM is on the List of the Ministry’s scored journals with 20 points for 2019

Deklaracja dostępności cyfrowej