Collective Risk Generalization to Creditrisk+

From CreditMetrics to CreditRisk and Back Again

In the short time since their public releases in 1997, J.P. Morgan's CreditMetrics and Credit Suisse's CreditRisk have become in uential benchmarks for internal credit risk models. Practitioners and policy makers have invested in implementing and exploring each of the models individually, but have made less progress with comparative analyses. Direct comparison of the models is not straightforwa...

3 Capital Allocation with CreditRisk +

Capital allocation for credit portfolios has two meanings. First, at portfolio level it means to determine capital as a buffer against an unexpected negative cash-flow resulting from credit losses. In this case, the allocation method can be specified by means of a risk measure. Its result is called economic capital of the portfolio. Second, at sub-portfolio or transaction level, capital allocat...

On the Distribution of Discounted Collective Risk Model

We study the distribution of discounted collective risk model where the counting process is Poisson. For the model considered here, we obtain mean, variance and moment generating function (m.g.f) of the model. To do this, we use two approaches. In the first approach we use classical methods to obtain the mean and variance. In the second approach we introduce some proper martingale and then we o...

Modelling Dependent Credit Risks with Extensions of CreditRisk and Application to Operational Risk

Flight to Quality and Collective Risk Management

We present a model of flight to quality episodes that emphasizes systemic risk and the Knightian uncertainty surrounding these episodes. Agents make risk management decisions with incomplete knowledge. They understand their own shocks, but are uncertain of how correlated their shocks are with systemwide shocks. Aversion to this uncertainty leads them to question whether their private risk manag...