Generalized CreditRisk+ model and applications

Authors

  • 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.

References

W. Feller, An introduction to probability theory and its applications. Vol. I., Third edition John Wiley & Sons, Inc., New York-London-Sydney 1968.
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J.L. Hodges, Jr., L. Le Cam, The Poisson approximation to the Poisson binomial distribution, Ann. Math. Statist. 31 (1960), 737–740.
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CreditRisk+. A Credit Risk Management Framework, Credit Suisse First Boston, 1997. Cited on 37, 38, 39 and 42. State Street Bank GmbH ul. Podgórska 36 31-536 Kraków Poland E-mail: jakubszotek@gmail.com Received: May 22, 2014; final version: January 7, 2015; available online: February 20, 2015.
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Published

2015-12-30

How to Cite

Szotek, J. (2015). Generalized CreditRisk+ model and applications. Annales Universitatis Paedagogicae Cracoviensis Studia Mathematica, 14, 37–46. Retrieved from https://studmath.uken.krakow.pl/article/view/13152

Issue

Vol. 14 (2015)

Section

Published on-line (DOI inactive)

License

Copyright (c) 2015 Annales Universitatis Paedagogicae Cracoviensis Studia Mathematica

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.