魔鬼在游行
发表于 2025-3-28 17:07:05
Risk Factor Transformations Relating CreditRisk+ and CreditMetrics,ransformations that relates identical though differently represented models. In the simplest case of homogeneous one-factor one-band-models, there is an approximate symmetry between consistently parametrized CreditRisk. and CreditMetrics. This can be viewed as evidence that there exists in general a
物质
发表于 2025-3-28 22:23:47
Numerically Stable Computation of CreditRisk+,sions of the logarithm and the exponential of a power series. We show that it is advantageous to the Panjer recursion advocated in the original CreditRisk. document, in that it is numerically stable. The crucial stability arguments are explained in detail. Furthermore, the computational complexity o
engender
发表于 2025-3-29 01:12:37
Enhanced CreditRisk+,at the probability-generating function (PGF) of the loss variable is the MGF of the factors, evaluated at a particular “point”. This approach has two major advantages: it leads to a new recursion formula for the portfolio loss distribution that is faster and more accurate than the standard approach.
mechanism
发表于 2025-3-29 03:42:26
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山顶可休息
发表于 2025-3-29 08:21:18
Fourier Inversion Techniques for CreditRisk+,rier inversion are presented. For the convenience of the reader, a short introduction to the theory of characteristic functions and the Fourier transformation is given. Then two general results are stated how to obtain the distribution of a random variable from its characteristic function. These gen
cardiac-arrest
发表于 2025-3-29 13:16:36
Incorporating Default Correlations and Severity Variations,nts. We provide an extension that enables modelling of default correlations among segments while preserving the analytical solution for the loss distribution. Moreover, the proposed methodology can consistently be extended to independently (of default events) model stochastic severities in collatera
Chronological
发表于 2025-3-29 16:15:18
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cogitate
发表于 2025-3-29 22:25:53
Integrating Rating Migrations,dit loss according to the default mode approach is inferior to the more comprehensive markto-market approach used in other credit portfolio models like CreditMetrics. In this chapter we present a practical, “easy to implement” procedure that allows us to integrate the rating migration concept — an i
hurricane
发表于 2025-3-30 00:34:50
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famine
发表于 2025-3-30 06:47:39
Dependent Sectors and an Extension to Incorporate Market Risk,. If one extends the model such that the risk factors are dependently distributed with quite arbitrary distributions, one has to give up the existence of a closed-form solution. The advantage of this approach is that one gains interesting generalizations and the computational effort to determine the