{"title":"Generalized CreditRisk+ model and applications","authors":"Jakub Szotek","doi":"10.1515/AUPCSM-2015-0003","DOIUrl":null,"url":null,"abstract":"Abstract In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.","PeriodicalId":53863,"journal":{"name":"Annales Universitatis Paedagogicae Cracoviensis-Studia Mathematica","volume":"128 1","pages":"37 - 46"},"PeriodicalIF":0.1000,"publicationDate":"2015-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annales Universitatis Paedagogicae Cracoviensis-Studia Mathematica","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/AUPCSM-2015-0003","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.
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