International Research journal of Management Science and Technology

  ISSN 2250 - 1959 (online) ISSN 2348 - 9367 (Print) New DOI : 10.32804/IRJMST

Impact Factor* - 6.2311


**Need Help in Content editing, Data Analysis.

Research Gateway

Adv For Editing Content

   No of Download : 97    Submit Your Rating     Cite This   Download        Certificate

THE VARIOUS STAGES IN MODELLING CREDIT RISK UNDER CREDITRISK+ : A DEEP DIVE

    2 Author(s):  DR. A.R.SAINATH, VIJI T.V.

Vol -  12, Issue- 5 ,         Page(s) : 26 - 35  (2021 ) DOI : https://doi.org/10.32804/IRJMST

Abstract

The analysis of uncertainty is the core of any risk management approach.Therefore the computation of variability of loss and the probability of possible levels of unexpected loss is vital to essential management of credit risk. The CreditRisk+ is an important and widely implemented default model of credit risk which is based on a methodology borrowed from actuarial mathematics.It has been developed by Credit Suisse Financial Products (1996) and is typically used in modelling the distribution of losses in the field of banking and insurance.

1. Abdelkader Derbali ,(2018), ‘How the Default Probability is defined by the CreditRisk+ Model?’
https://hal.archives-ouvertes.fr/hal-01696011/document
2. Alexis Derviz, Narcisa Kadlčakova, (2001), ‘Methodological Problems Of Quantitative Credit Risk Modeling In The Czech Economy’
https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/mp_wp/download/WP39_Derviz_Kadlcakova.pdf
3. Amogh Deshpande ,Srikanth K. Iyer (2009), ‘The CreditRisk+ Model with General Sector Correlations’
https://www.researchgate.net/publication/225622618_The_credit_risk_model_with_general_sector_correlations

*Contents are provided by Authors of articles. Please contact us if you having any query.






Bank Details