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An Analytic Approach to Rating Transitions

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

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.

Keywords

Rate Transition Credit Risk Poisson Approximation Indicator Vector Systematic Risk Factor 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. 1.
    Credit Suisse Financial Products. CreditRisk+: A credit risk management framework. London, 1997. Available at http://www.csfb.com/creditrisk.
  2. 2.
    G. Giese. Enhancing CreditRisk+. Risk, 16 (4): 73–77, April 2003.Google Scholar
  3. 3.
    M. B. Gordy. A comparative anatomy of credit risk models. J. Banking e1 Finance, 24: 119–149, 2000.CrossRefGoogle Scholar
  4. 4.
    B. Rolfes and F. Bröker. Good migrations. Risk, 11 (11): 72–73, 1998.Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Carsten Binnenhei

There are no affiliations available

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