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ArticleOriginal scientific text

Title

Generalized CreditRisk+ model and applications

Authors 1

Affiliations

  1. State Street Bank GmbH ul. Podgórska 36 31-536 Kraków Poland

Abstract

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.
Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica
2015/14
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Main language of publication
English
Received
2014-05-22
Accepted
2015-01-07
Published
2015-12-01
Published online
2015-12-30

DOI: 10.1515/aupcsm-2015-0003

Exact and natural sciences