Centro de Documentacion de Fundación MAPFRE - CreditRisk+ Model with dependent risk factors

Notas: Sumario: 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.Registros relacionados: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 02/02/2015 Tomo 19 Número 1 - 2015 , p. 24-40Materia / lugar / evento: Modelos actuariales Análisis de riesgos Cálculo actuarial Otros autores: Peng, Liang
Yang, Jianping
Otras clasificaciones: 6

Derechos: In Copyright (InC)

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