In this chapter we will discuss the CreditRisk+ model, another industry model which is based on a typical insurance mathematics approach and therefore, also often called an actuarial model. The CreditRisk+ model has originally been developed by Credit Suisse Financial Products (CSFP) and is now one of the financial industry’s benchmark models in the area of credit risk management. It is also widely used in the supervisory community since it uses as basic input the same data as also required for the Basel II IRB approach which we discussed in Chapter 4.
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© 2009 Springer-Verlag Berlin Heidelberg
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(2009). The CreditRisk+ Model. In: Concentration Risk in Credit Portfolios. EAA Lecture Notes. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-70870-4_6
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DOI: https://doi.org/10.1007/978-3-540-70870-4_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-70869-8
Online ISBN: 978-3-540-70870-4
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