Abstract: We proposed the multi-systematic risk factors CreditRisk+model based on sector character.The assumption of independence between different sector risk factors is a drawback of the original Credit-Risk+model.The amended model such as the single factor model,the compound gamma CreditRisk+model and the two stage CreditRisk+model still have their own problems. In this paper,we introduced multi-systematic risk factors,and denoted the shape parameter of sector risk factor. by a product of linear combination of systematic risk factors and a parameter that reflects and inner character of sector risk factor,that is a expansion to the CreditRisk+model. The developed model overcame the problem that inner character of sector risk factor is neglected in the two stage CreditRisk+mo del,and derived compatible combination of two-fold systematic and sector risk factors. The new CreditRisk+model can adopt general covariance matrix of sector risk factors into the framework of the model,thus overcame the drawback that covariances between different sector risk factors are required to be equal in the compound gamma CreditRisk+model.We proved in this paper that all those original Credit Risk+model,compound gamma CreditRisk+model and two stage CreditRisk+model are just extreme situations of the new model,and in those extreme situations the covariance matrix of sector risk factors can not be adopted into those models properly,thus will influence the accuracy for calculating unexpected loss.

Key words: CreditRisk+model, default correlation, sector character, multi-systematic risk factors