<abstract xmlns="http://www.w3.org/1999/xhtml">

<p> 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.</p>
</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.

Generalized CreditRisk+ model and applications

State Street Bank GmbH ul. Podgórska 36 31-536 Kraków Poland

Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica

This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.

{"article-title":"Generalized CreditRisk+ model and applications"}

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...

Generalized CreditRisk+ model and applications

Published Online: Dec 30, 2015

Page range: 37 - 46

Received: May 22, 2014

DOI: https://doi.org/10.1515/aupcsm-2015-0003

© by Jakub Szotek

This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.