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Publicado en línea: 30 dic 2015
Páginas: 37 - 46
Recibido: 22 may 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.
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.