How the default probability is defined by the CreditRisk+ model?

Abdelkader Derbali ()
Additional contact information
Abdelkader Derbali: Institut Supérieur de Gestion Sousse, Université de Sousse

Working Papers from HAL

Abstract: The aim of this paper is to investigate theoretically one of the current models of credit portfolio management. There are currently three types of models to consider the risk of credit portfolio: the structural models (Moody's KMV model and CreditMetrics model) also defined by the models of the value of the firm, reduced form models also defined by models with intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of the three types of models is based on a theoretical basis developed by several researchers. The evolution of their default frequencies and the size of the loan portfolio are expressed as functions of macroeconomic and microeconomic conditions as well as unobservable credit risk factors, which explained by other factors. We developed this paper to explain the different characteristics of the CreditRisk+ models. The purpose of this model is to calculate the default probability of credit portfolio.

Keywords: Risk management; Credit risk; Default probability; Structural models; KMV model; CreditRisk+; Credit Portfolio View (search for similar items in EconPapers)
Date: 2018-01-30
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-01696011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-01696011/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01696011

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().