PPT Slide

Advantages and limitations

of CreditRisk+

• Closed form expressions are derived for the probability of portfolio

band/loan losses. Marginal risk contributions by obligor can be

easily computed.

• Focuses only on default, requiring relatively few inputs to estimate.

• Assumes no market risk.

• Ignores migration risk so that the exposure for each obligor is fixed

and does not depend on eventual changes in credit quality.

• Credit exposures are taken to be constant.