CreditRisk+ Model with dependent risk factors

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<title>CreditRisk+ Model with dependent risk factors</title>
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<namePart>Yang, Jianping</namePart>
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<abstract displayLabel="Summary">The CreditRisk+ model is widely used in industry for computing the loss of a credit portfolio. The standard CreditRisk+model assumes independence among a set of common risk factors, a simplified assumption that leads to computational ease. In this article, we propose to model the common risk factors by a class of multivariate extreme copulas as a generalization of bivariate Fréchet copulas. Further we present a conditional compound Poisson model to approximate the credit portfolio and provide a cost-efficient recursive algorithm to calculate the loss distribution. The new model is more flexible than the standard model, with computational advantages compared to other dependence models of risk factors.</abstract>
<note type="statement of responsibility">Ruodu Wang, Liang Peng, Jingping Yang</note>
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<topic>Modelos actuariales</topic>
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<topic>Análisis de riesgos</topic>
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<topic>Cálculo actuarial</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
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<text>02/02/2015 Tomo 19 Número 1 - 2015 , p. 24-40</text>
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