<div class="csl-bib-body">
<div class="csl-entry">Fabrykowski, L. (2017). <i>Extended creditRisk+ with guarantees</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2017.20673</div>
</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2017.20673
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/5109
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dc.description.abstract
The current Extended CreditRisk+-model has a rather rudimentary methodology to consider guarantees, which, for example, does not take any dependence between guarantors into account. This drastically limits its applicability on the market. This thesis proposes several possible approaches how to incorporate guarantees - be it credit guarantees, reinsurance contracts or government subsidies - into the Extended CreditRisk+ framework. We first adapt the current notation of the model to allow for the securitisation of the exposure. Subsequently we propose three different methods to include the additional information in the computation of the potential portfolio loss. Finally we apply all these approaches to several exemplary portfolios and benchmark them agains known reference distributions. Additionally we give a short presentation of a software library developed to model various distributions and in particular used to implement the proposed methods.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Erweitertes CreditRisk+
de
dc.subject
Risikoaggregation
de
dc.subject
kollektives Risikomodell
de
dc.subject
Kreditgarantien und Approximationen
de
dc.subject
gewichtete Verteilungen von Risikofaktoren
de
dc.subject
Poisson-Mischverteilung
de
dc.subject
Abhängigkeitsmodellierung
de
dc.subject
Panjer-Rekursion
de
dc.subject
Gammaverteilung
de
dc.subject
zusammengesetzte Poisson-Mischverteilung
de
dc.subject
extended CreditRisk+
en
dc.subject
risk aggregation
en
dc.subject
collective risk model
en
dc.subject
credit guaranties and approximations
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dc.subject
biased distributions of risk factors
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dc.subject
Poisson mixture distribution
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dc.subject
dependence modelling
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dc.subject
Panjer recursion
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dc.subject
gamma distribution
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dc.subject
compound Poisson mixture distribution
en
dc.title
Extended creditRisk+ with guarantees
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dc.title.alternative
Extended creditRisk plus with guarantees
de
dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2017.20673
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Lukas Fabrykowski
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dc.publisher.place
Wien
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik
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dc.type.qualificationlevel
Diploma
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dc.identifier.libraryid
AC13706034
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dc.description.numberOfPages
95
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dc.identifier.urn
urn:nbn:at:at-ubtuw:1-98629
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dc.thesistype
Diplomarbeit
de
dc.thesistype
Diploma Thesis
en
dc.rights.identifier
In Copyright
en
dc.rights.identifier
Urheberrechtsschutz
de
tuw.advisor.staffStatus
staff
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tuw.advisor.orcid
0000-0001-9588-8249
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item.mimetype
application/pdf
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item.cerifentitytype
Publications
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item.openairetype
master thesis
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item.languageiso639-1
en
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item.fulltext
with Fulltext
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item.openaccessfulltext
Open Access
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item.grantfulltext
open
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item.openairecristype
http://purl.org/coar/resource_type/c_bdcc
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crisitem.author.dept
E104 - Institut für Diskrete Mathematik und Geometrie