Abstract
The purpose of this paper is to propose a realistic and operational model to quantify the systematic risk in credit risk insurance. The model presented is built on the basis of classical credit risk model in which the joint laws of the risk factors become non gaussian. We discuss also the way to take into account the ability for the insurer to mitigate the risk.
Keywords: Credit risk, NORTA method, default probabilty.
Page
1-15
Year
2009
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Systematic Risk Models
Practice Areas
Risk Management
Publications
ASTIN Colloquium
