Collective Risk Generalization to Creditrisk+

Authors

  • Reza Habibi Central Bank of Iran

Keywords:

Bayesian inference; Collective risk; Creditrisk ; Modelrisk; Data scarce problem; Moment generating function; Monte Carlo simulation

Abstract

Using the collective risk models of actuarial science, the Creditrisk+ is extended to the case of random number obligors. First, mathematical methods to compute the distribution of total loss are studied. Then, the mathematical results are applied and verified numerically. The insufficiency data in risk management is a big problem. Thus, the case of data scarce is studied using a Bayesian approach. Finally, a concluding remarks section is also given.

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Published

2021-10-15

How to Cite

Reza Habibi. (2021). Collective Risk Generalization to Creditrisk+. Journal of Risk Analysis and Crisis Response, 8(4). Retrieved from https://jracr.com/index.php/jracr/article/view/249

Issue

Vol. 8 No. 4 (2018)

Section

Article