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CreditRisk+ Model with dependent risk factors

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      <subfield code="a">CreditRisk+ Model with dependent risk factors</subfield>
      <subfield code="c">Ruodu Wang, Liang Peng, Jingping Yang</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">Peng, Liang</subfield>
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      <subfield code="a">Yang, Jianping</subfield>
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      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
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      <subfield code="x">1092-0277</subfield>
      <subfield code="g">02/02/2015 Tomo 19 Número 1 - 2015 , p. 24-40</subfield>
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