Extension of CreditRisk+

01.05.2005 - 31.05.2006
Assigned research project
Calibration of CreditRisk + with several risk factors, extension to dependent risk factors and random recovery rates, calculation of risk contributions, generalization of the numerically stable algorithm.

People

Project leader

Project personnel

Institute

Contract/collaboration

  • Österreichische Nationalbank (OeNB)

Keywords

GermanEnglish
Numerische Stabilitätnumerical stability
Risikobeiträgerisk contribution
Abhängige Risikofaktorendependent risk factors
zufällige Eintreibungsratenrandom recovery rates
Kreditrisikoaggregationcredit risk aggregation
Java-ImplementationJava implementation
CreditRisk<sup>+</sup>CreditRisk<sup>+</sup>

Publications