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Generalized CreditRisk+ model and applications

Authors :
Jakub Szotek
Source :
Annales Universitatis Paedagogicae Cracoviensis: Studia Mathematica, Vol 14, Pp 37-46 (2015)
Publication Year :
2015
Publisher :
Sciendo, 2015.

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.

Subjects

Subjects :
credit risk
CreditRisk+
random variable distribution
probability generating function
applications
Mathematics
QA1-939

Details

Language :
German, English, French
ISSN :
2081545X and 2300133X
Volume :
14
Database :
Directory of Open Access Journals
Journal :
Annales Universitatis Paedagogicae Cracoviensis: Studia Mathematica
Publication Type :
Academic Journal
Accession number :
edsdoj.56baa5502c64e8694aca24c6622bfa8
Document Type :
article
Full Text :
https://doi.org/10.1515/aupcsm-2015-0003
Full Text Access
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Authors Abstract Subjects Details