adjustment (GA). We provide an analytic formula for the GA in an extended single- factor CreditRisk+ setting incorporating double … default e?ects. It accounts for guarantees and their e?ect of reducing credit risk in the portfolio. Our general GA very well …

credit portfolio is inappropriate in the presence of double default effects. Speci?cally, we prove that there does not exist …-factor CreditRisk+ model. Moreover, in case of the model underlying the double default treatment within the internal ratings based (IRB …

In 2005 the Internal Ratings Based (IRB) approach of `Basel II' was enhanced by a `treatment of double default effects … several severe problems of this approach and presents a new method to account for double default effects. This new it asset …

adjustment (GA). We provide an analytic formula for the GA in an extended single- factor CreditRisk+ setting incorporating double … default e?ects. It accounts for guarantees and their e?ect of reducing credit risk in the portfolio. Our general GA very well …

credit portfolio is inappropriate in the presence of double default effects. Speci?cally, we prove that there does not exist …-factor CreditRisk+ model. Moreover, in case of the model underlying the double default treatment within the internal ratings based (IRB …

In 2005 the Internal Ratings Based (IRB) approach of `Basel II' was enhanced by a `treatment of double default effects … several severe problems of this approach and presents a new method to account for double default effects. This new it asset …