Generalized CreditRisk+ model and applications
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.
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| Format: | Article |
| Language: | deu |
| Published: |
Sciendo
2015-02-01
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| Series: | Annales Universitatis Paedagogicae Cracoviensis: Studia Mathematica |
| Subjects: | |
| Online Access: | http://studmath.up.krakow.pl/index.php/studmath/article/view/176 |