Generalized CreditRisk+ model and applications
نویسندگان
چکیده
منابع مشابه
Calculation of Higher Moments in CreditRisk+ with Applications
CreditRisk+ is an influential and widely implemented model of portfolio credit risk. As a close variant of models long used for insurance risk, it retains the analytical tractability for which the insurance models were designed. Value-at-risk can be obtained via a recurrence-rule algorithm, so Monte Carlo simulation can be avoided. Little recognized, however, is that the algorithm is fragile. U...
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ژورنال
عنوان ژورنال: Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica
سال: 2015
ISSN: 2300-133X
DOI: 10.1515/aupcsm-2015-0003