Zobrazeno 1 - 10
of 68
pro vyhledávání: '"creditrisk+"'
Publikováno v:
Iqtishadia, Vol 12, Iss 2, Pp 240-265 (2019)
The crisis of confidence in the credit rating agency forced Islamic financing institutions to apply risk measurement methods independently and renewed the study of credit risk measurement. Moreover, this research also discusses mashlaha (public inter
Externí odkaz:
https://doaj.org/article/9ba18e71c06f4694a82c81546249e6d4
Autor:
Jacopo Giacomelli, Luca Passalacqua
Publikováno v:
Mathematics, Vol 9, Iss 14, p 1679 (2021)
The CreditRisk+ model is one of the industry standards for the valuation of default risk in credit loans portfolios. The calibration of CreditRisk+ requires, inter alia, the specification of the parameters describing the structure of dependence among
Externí odkaz:
https://doaj.org/article/d45f03700a4949cb9ed03da11c346a76
Autor:
Cordelia Rudolph, Uwe Schmock
Publikováno v:
Risks, Vol 8, Iss 2, p 43 (2020)
In this paper, we discuss a generalization of the collective risk model and of Panjer’s recursion. The model we consider consists of several business lines with dependent claim numbers. The distributions of the claim numbers are assumed to be Poiss
Externí odkaz:
https://doaj.org/article/ffb10a1b560a4c0dac9e6eb84031d732
Autor:
Reza Habibi
Publikováno v:
Journal of Risk Analysis and Crisis Response (JRACR), Vol 8, Iss 4 (2018)
Using the collective risk models of actuarial science, the Creditrisk+ is extended to the case of random number obligors. First, mathematical methods to compute the distribution of total loss are studied. Then, the mathematical results are applied an
Externí odkaz:
https://doaj.org/article/f9fe1b520a8a4e38a35e5cf93496c888
Autor:
Jakub Szotek
Publikováno v:
Annales Universitatis Paedagogicae Cracoviensis: Studia Mathematica, Vol 14, Pp 37-46 (2015)
In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.
Externí odkaz:
https://doaj.org/article/a56baa5502c64e8694aca24c6622bfa8
Publikováno v:
Contextus, Vol 11, Iss 1, Pp 103-116 (2013)
The paper analyzes CreditRisk+ Model theoretical foundations and fulfillment in a credit portfolio sample. In this analysis, CreditRisk+ Model, one of the risk assessment models created by banks, was applied in an US portfolio sample with default eve
Externí odkaz:
https://doaj.org/article/25e0ff694eec449b9f7d4adc7fba5b77
Publikováno v:
Risks, Vol 5, Iss 2, p 23 (2017)
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte C
Externí odkaz:
https://doaj.org/article/d40c91da9f214b5892cf725fd6f9b902
Autor:
Jakob Kevin, Fischer Matthias
Publikováno v:
Dependence Modeling, Vol 2, Iss 1 (2014)
Externí odkaz:
https://doaj.org/article/1741feabc499403bb755ea0f0a0b8eec
Autor:
Luca Passalacqua, Jacopo Giacomelli
Publikováno v:
Mathematics, Vol 9, Iss 1679, p 1679 (2021)
Mathematics
Volume 9
Issue 14
Mathematics
Volume 9
Issue 14
The CreditRisk+ model is one of the industry standards for the valuation of default risk in credit loans portfolios. The calibration of CreditRisk+ requires, inter alia, the specification of the parameters describing the structure of dependence among
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cdc3c3d9ac5506c677a2b4d152d3fbdf
https://www.mdpi.com/2227-7390/9/14/1679
https://www.mdpi.com/2227-7390/9/14/1679