The various versions of CreditRisk+ have widely been used in the financial industry.
We compute the loss distribution under CreditRisk+ model by fast fourier
transform technique in order to have faster and more stable results. Moreover,
we link the parameters of the model to the exogenously observed variables which
could be obtained from the financial markets by the use of Poisson INAR process.
It is shown that the estimation of the parameters become available under this setup.
This enables us to build a system that allows users to monitor and predict
the banks loss characteristics without having specific and current information on
banks.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/3/12608229/index.pdf |
| Date | 01 February 2007 |
| Creators | Nazliben, Kamil Korhan |
| Contributors | Korezlioglu, Hayri |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.S. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
Page generated in 0.0018 seconds