ABSTRACT
In Section 2.4.2 we already described the CreditRisk+ model as a Poissonian mixture with gamma-distributed random intensities for each sector. In this section we will explain CreditRisk+ in some greater detail. The justification for another and more exhaustive chapter on CreditRisk+ is its broad acceptance by many credit risk managing institutes. Even in the new Capital Accord (some references regarding the Basel II approach are Gordy [84], Wilde [187], and the IRB consultative document [148]), CreditRisk+ was originally applied for the calibration of the so-called granularity adjustment in the context of the Internal Ratings-based Approach (IRB) of regulatory capital risk weights. The popularity of CreditRisk+ has two major reasons:
• It seems easier to calibrate data to the model than is the case for multi-factor asset value models. Here we intentionally said “it seems” because from our point of view the calibration of bankinternal credit data to a multi-sector model is in general neither easier nor more difficult than the calibration of a multi-factor model on which an asset value model can be based.
