Summary
The present paper discusses a novel approach to the determination of default events, which has been developed for two different credit institutions. It is based on the CreditRisk+ model, however, in a simulation environment. In order to meet the particular requirements and standards of the respective credit institutions the original model had to be modified and extended. It is suited for evaluating the risk structure of two portfolios with middle-class obligors and premium creditworthiness obligors, repectively.
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© 2003 Springer-Verlag Berlin Heidelberg
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Rempel-Oberem, T., Klingeler, R., Martin, P. (2003). An Application of the CreditRisk+ Model. In: Bol, G., Nakhaeizadeh, G., Rachev, S.T., Ridder, T., Vollmer, KH. (eds) Credit Risk. Contributions to Economics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-59365-9_11
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DOI: https://doi.org/10.1007/978-3-642-59365-9_11
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-7908-0054-8
Online ISBN: 978-3-642-59365-9
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