An Analytic Approach to Rating Transitions

  • Carsten Binnenhei
Part of the Springer Finance book series (FINANCE)


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.


Migration Covariance Convolution 


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© Springer-Verlag Berlin Heidelberg 2004

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  • Carsten Binnenhei

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