Some extensions to CreditRisk+ : FFT, FFT-Panjer and Poisson-INAR process

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2007

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Nazlıben, Kamil Korhan

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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.

Subject Keywords

Finance.

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http://etd.lib.metu.edu.tr/upload/3/12608229/index.pdf
https://hdl.handle.net/11511/16789

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Graduate School of Applied Mathematics, Thesis

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Citation Formats

K. K. Nazlıben, “ Some extensions to CreditRisk+ : FFT, FFT-Panjer and Poisson-INAR process,” M.S. - Master of Science, Middle East Technical University, 2007.