Security

Systematic Risk Modelisation In Credit Risk Insurance

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Executive Summary

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. The authors discuss also the way to take into account the ability for the insurer to mitigate the risk. To improve the classical model used to quantify the systematic risk in credit risk insurance (cf. BONTI, DECROOCQ [2008]) it is also possible on one hand to take into account non Gaussian joint laws of the risk factors and on the other hand to take into account the ability for the insurer to mitigate the risk.

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