Research on CreditRisk+ Model Based on Severity Variation and Sector Correlation of Multi-system Risk Factors
首发时间:2009-04-08
Abstract:On the basis of multi-system risk factors CreditRisk+ model based on sector character, this paper takes account of the variation of loss given default, and proposes the CreditRisk+ model on severity variation and sector correlation of multi-system risk factors. This new model fully takes account of the correlation between the sector risk factors and the variation of the obligor’s loss given default, so the accuracy of calculating unexpected loss of loan portfolio with this model is enhanced. In this paper, we give a practical example to analyze this feasibility of the new model by taking use of saddlepoint approximation algorithm.
keywords: CreditRisk+ model loss given default probability of default saddlepoint approximation default correlation
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Research on CreditRisk+ Model Based on Severity Variation and Sector Correlation of Multi-system Risk Factors
摘要:On the basis of multi-system risk factors CreditRisk+ model based on sector character, this paper takes account of the variation of loss given default, and proposes the CreditRisk+ model on severity variation and sector correlation of multi-system risk factors. This new model fully takes account of the correlation between the sector risk factors and the variation of the obligor’s loss given default, so the accuracy of calculating unexpected loss of loan portfolio with this model is enhanced. In this paper, we give a practical example to analyze this feasibility of the new model by taking use of saddlepoint approximation algorithm.
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Research on CreditRisk+ Model Based on Severity Variation and Sector Correlation of Multi-system Risk Factors
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