Titlebook: CreditRisk+ in the Banking Industry; Matthias Gundlach,Frank Lehrbass Book 2004 Springer-Verlag Berlin Heidelberg 2004 Asset Backed Securi

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Basics of CreditRisk+,We present the fundamental ideas of CreditRisk. and give an introduction to the main notions of this credit risk model. In particular we set up the notations for the book and describe the original version of CSFP.

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Estimation of Sector Weights from Real-World Data,We discuss four different approaches to the estimation of sector weights for the CreditRisk. model from German real-world data. Using a sample loan portfolio, we compare these approaches in terms of the resulting unexpected loss risk figures.

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CreditRisk+ in the Banking Industry978-3-662-06427-6Series ISSN 1616-0533 Series E-ISSN 2195-0687

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,Schülerauswahl für F?rderma?nahmen,sions of the logarithm and the exponential of a power series. We show that it is advantageous to the Panjer recursion advocated in the original CreditRisk. document, in that it is numerically stable. The crucial stability arguments are explained in detail. Furthermore, the computational complexity of the resulting algorithm is stated.

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