CreditRisk+ Model with dependent risk factors
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20150018373 | ||
| 003 | MAP | ||
| 005 | 20150527170346.0 | ||
| 008 | 150519e20150202esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20120008816$aWang, Ruodu | ||
| 245 | 1 | 0 | $aCreditRisk+ Model with dependent risk factors$cRuodu Wang, Liang Peng, Jingping Yang |
| 520 | $aThe 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. | ||
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080588953$aAnálisis de riesgos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | $0MAPA20080653569$aPeng, Liang | ||
| 700 | 1 | $0MAPA20150002877$aYang, Jianping | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g02/02/2015 Tomo 19 Número 1 - 2015 , p. 24-40 |