À propos de cet article
Publié en ligne: 30 déc. 2015
Pages: 37 - 46
Reçu: 22 mai 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.