Efficient and Numerically Stable Implementation of CreditRisk+

01.03.2004 - 31.08.2004
Assigned research project
The project aims for an efficient and numerically stable Java implementation of CreditRisk+, a model developed by Credit Suisse Financial Products. This portfolio credit risk model has the advantage, that the moment generating function of the total loss in a credit portfolio can be represented in closed form. The main tool in this project is a new algorithm for the computation of the power series expansion of this generating function. In 2003/04, H. Haaf, O. Reiß und J. Schoenmakers proved the numerical stability of this algorithm. Based on the results of the project, the Austrian Central Bank (OeNB) plans to evaluate the risk of the credit portfolios of the about 900 banks in Austria. Additional tasks in this project are the preparation of the data, the calibration of the one-sector model, the evaluation of the model with several sectors, the suitable choice of the basic loss unit, the treatment of small loans, and the computation of risk measures such as value-at-risk and expected shortfall.

People

Project leader

Institute

Contract/collaboration

  • Österreichische Nationalbank (OeNB)

Keywords

GermanEnglish
Kreditrisikoaggregationcredit risk aggregation
CreditRisk+CreditRisk+
Java-ImplementationJava implementation
Numerische Stabilitätnumerical stability

Publications