Haaf, Hermann; Reiß, Oliver; Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2003
The CreditRisk+ model launched by CSFB in 1997 is widely used by practitioners in the banking sector as a simple means for the quantification of credit risk, primarily of the loan book. We present an alternative numerical recursion scheme for CreditRisk+, equivalent to an algorithm recently...
