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CreditRisk+ Model with dependent risk factors

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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100  ‎$0‎MAPA20120008816‎$a‎Wang, Ruodu
24510‎$a‎CreditRisk+ Model with dependent risk factors‎$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
7001 ‎$0‎MAPA20150002877‎$a‎Yang, Jianping
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎02/02/2015 Tomo 19 Número 1 - 2015 , p. 24-40