Integrating Correlations
نویسندگان
چکیده
Introduction In the last few years the quantitative modelling of credit risk has received a lot of attention within the financial industry. Several models have been released to the public, notably CreditRisk+, CreditMetrics, Credit Portfolio View [CR97, CM97, CP98]. Although different approaches to credit risk are used, studies have shown that the models yield similar results if the parameters are set in a consistent way, see for example [KO98]. CreditRisk+ in particular is ideal for practical implementation and has some nice features, namely: (a) few assumptions have to be made, (b) the methodology is very transparent and based on concepts already used in the insurance business and (c) the loss distribution can be calculated analytically in an efficient way using an iterative procedure.
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