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Parametrisierung von CreditRisk+.
- 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