Generalized CreditRisk+ model and applications
Jakub Szotek
Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica, Tome 14 (2015), / Harvested from The Polish Digital Mathematics Library
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In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.

Publié le : 2015-01-01
EUDML-ID : urn:eudml:doc:276417 
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     author = {Jakub Szotek},
     title = {Generalized CreditRisk+ model and applications},
     journal = {Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica},
     volume = {14},
     year = {2015},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_aupcsm-2015-0003}
}

Jakub Szotek. Generalized CreditRisk+ model and applications. Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica, Tome 14 (2015) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_aupcsm-2015-0003/