an:05206259
Zbl 1354.91175
Lehrba??, Frank B.; Boland, Ingo; Thierbach, Reinhard
Measuring risk of a loan portfolio using actuarial mathematics
DE
Bl., Dtsch. Ges. Versicherungsmath. 25, No. 2, 285-308 (2001).
00212253
2001
j
91G70 91B30 91G40
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.