CreditRisk+Model with Dependent Risk Factors

DOI10.1080/10920277.2014.976311zbMath1414.91402OpenAlexW2038799563MaRDI QIDQ5379134

Ruodu Wang, Liang Peng, Jing-Ping Yang

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2014.976311

zbMATH Keywords

conditional independencemultivariate copulasPanjer's recursioncredit risk modeldependent risk factors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items (6)

A limit distribution of credit portfolio losses with low default probabilities ⋮ The loss given default of a low-default portfolio with weak contagion ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Quantification of Operational Risk: A Scenario-Based Approach ⋮ EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS

Uses Software

• CreditRisk+

Cites Work

• The credit risk\(^{+}\) model with general sector correlations
• A class of multivariate copulas with bivariate Fréchet marginal copulas
• An introduction to copulas.
• Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
• On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• CreditRisk\(^+\) in the banking industry.
• The compound Poisson random variable's approximation to the individual risk model
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