CreditRisk+ is a methodology for calculating the distribution of possible credit losses from a portfolio. Developed by Credit Suisse and launched in 1997, the CreditRisk+ methodology has attracted much attention from practitioners, academics and the regulatory community.
The model is now available in the PortfolioRisk+ model spreadsheet (which has much other functionality besides). It is also available on the Internet (LOCuS). Data requirements are minimal: risk can be estimated by specifying a loss given default for each asset, together with estimated default probabilities and their volatilities. The model is very fast: it employs an analytic method (not a simulation) to derive the distribution of losses, so calculations take seconds, not minutes or hours. Both portfolio level risk and contributions to risk by asset are calculated.
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