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The CreditRisk+ Model (Part 1)
Автор: The Logic of Risk
Загружено: 2025-01-16
Просмотров: 810
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In this (old) lesson, I speak about the CreditRisk+ model, introduced by Credit Suisse (now part of UBS) in 1997. The model is relevant for both its statistical features and the influence it had on the Basel II framework (in particular on the so-called Granularity Adjustment, GA).
Knowing such a model can be useful also for those not strictly interested in credit risk, as it could be applied in the modeling of the financial losses due to climate risk for instance.
CS CR+ original document: https://globalriskguard.com/resources...
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