Credit portfolio modelling: Enhancing CreditRisk+ The CreditRisk+ model is suffering from the restriclive assumption of sector independence. Moreover, the recursion relation for calculating the oss distribution is unstable for very large portfolios. The author presents an improved version with a stable recursion scheme and sector correlations, which compares favourably with other approximation ...
| Year of publication: |
2003
|
|---|---|
| Authors: | Giese, Götz |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 4, p. 73-78
|