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Measuring risk of a loan portfolio using actuarial mathematics. (Versicherungsmathematische Risikomessung für ein Kreditportfolio.) (German. English summary) Zbl 1354.91175
Summary: Necessary steps towards the credit risk measurement for a portfolio are described in this article. A short description of the data requirements is followed by a detailed proof of the analytical Credit-Risk+\(^{\text{TM}}\) model in traditional “theorem-proof-style”. The numerical implementation of the model is discussed and examples of its application are given. Finally, the model is embedded into the risk-return management of a portfolio.
MSC:
91G70 Statistical methods; risk measures
91B30 Risk theory, insurance (MSC2010)
91G40 Credit risk
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