Links to all tutorial articles (same as those on the Exam pages)CreditRisk+, or the actuarial approach to measuring credit risk
This is the final of five articles - each explaining at a high level one each of the five credit risk models in the PRMIA handbook. This write-up deals with the actuarial, or the 'CreditRisk+' model.Credit Risk +, or the actuarial approach
It assumes:
There are three steps to implementing the model:
Limitations:
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