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Parametrisierung von CreditRisk+.

Authors :
Gillespie, Gordon
Source :
Risiko Manager; 2013, Issue 22, p1-7, 6p
Publication Year :
2013

Abstract

The article evaluates estimation approaches to credit risk including the CreditRisk+ parameterization model developed by Swiss bank Credit Suisse along with an autoregressive model and a maximum likelihood approach. Mathematical models of calculating credit risk are offered, the transparency of the CreditRisk+ model is criticized, and the importance of correct estimations of risk in the banking and financial services industry is emphasized.

Details

Language :
German
ISSN :
18619363
Issue :
22
Database :
Complementary Index
Journal :
Risiko Manager
Publication Type :
Periodical
Accession number :
94590352