On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk

DOI10.1016/j.insmatheco.2007.08.006zbMath1152.91608OpenAlexW3125327354MaRDI QIDQ998291

Steven Vanduffel, Antoine Vandendorpe, Ngoc-Diep Ho, Paul Van Dooren

Publication date: 28 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.08.006

zbMATH Keywords

aggregationfactorizationdefault correlationPanjer's recursion

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items

Low Permutation-rank Matrices: Structural Properties and Noisy Completion, A polynomial-time algorithm for computing low CP-rank decompositions, Approximation algorithms for binary packing problems with quadratic constraints of low cp-rank decompositions, LLN-type approximations for large portfolio losses, A limit distribution of credit portfolio losses with low default probabilities, The loss given default of a low-default portfolio with weak contagion, Range value-at-risk bounds for unimodal distributions under partial information, CreditRisk⁺Model with Dependent Risk Factors, Simple risk measure calculations for sums of positive random variables, Computing symmetric nonnegative rank factorizations, Methods for nonnegative matrix factorization based on low-rank cross approximations, Nonnegative matrix factorization of a correlation matrix, Some Stein-type inequalities for multivariate elliptical distributions and applications, Bounds for sums of random variables when the marginal distributions and the variance of the sum are given

Uses Software

• CreditRisk+

Cites Work

• On reduced rank nonnegative matrix factorization for symmetric nonnegative matrices
• The maximal cp-rank of rank \(k\) completely positive matrices
• Introducing a weighted non-negative matrix factorization for image classification
• Learning the parts of objects by non-negative matrix factorization
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