Summary
Extending CreditRisk+ to a multi-state model allows one to incorporate credit quality changes into the calculation of portfolio credit risk. Several modifications to the original methodology are proposed to make the extension to a markto-market model tractable. The distribution of portfolio value changes is obtained analytically by a two-dimensional recursion algorithm.
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References
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© 2004 Springer-Verlag Berlin Heidelberg
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Binnenhei, C. (2004). An Analytic Approach to Rating Transitions. In: Gundlach, M., Lehrbass, F. (eds) CreditRisk+ in the Banking Industry. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-06427-6_12
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DOI: https://doi.org/10.1007/978-3-662-06427-6_12
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-05854-7
Online ISBN: 978-3-662-06427-6
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