Credit Portfolio Risk Model
Overview
A collective credit portfolio model is a model where the number of defaults is modeled at the portfolio level. That is,
instead of modeling each loan in the portfolio individually, you model the number of defaults as the random variable of interest.
Modeling Default Counts
The distribution most often used to model count data is the
Poisson Distribution.
{% Prob(defaults = n) = \frac{exp(-\lambda_t) \lambda_t ^n }{n!} %}
count processess
