CreditRisk+ Model with Heterogeneous Obligors

Abstract

The purpose of the paper, the main research process and the methods adopted, the main results and important conclusions should be expressed clearly in concise and clear language. If possible, mention as stated in Basel accord, the Creditrisk+ is a main tool for running stress testing in a credit portfolio. There are some modifications to original format of this protocol. In the current manuscript, in a sub-credit portfolio with heterogeneous obligors, with the same nonrandom probability of default, some limiting behaviors of total loss of portfolio are studied. In the case of random and correlated probabilities of default with ARTA models (autoregressive to any things model), by the Eigen analysis, some other limiting distributions are proposed. Finally, simulation results are proposed to verify some parts of the limiting results.