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1. Generalized CreditRisk+ model and applications

Author

Jakub Szotek

Subjects
random variable distribution, applications, credit risk, media_common.quotation_subject, lcsh:Mathematics, General Medicine, Method of analysis, CreditRisk+, lcsh:QA1-939, probability generating function, Debt, Econometrics, Economics, Portfolio, Mathematical economics, Credit risk, media_common
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.

Published
2015

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