Abstract: The traditional Creditrisk⁺ assumes severity is given and invariable,but recent researchs prove that severity is variable in financial market.Due to this unreasonable assumption in the model,Credit Risk⁺ is improved in this paper.Severity variation which distribution is a beta distribution is taken into account and saddlepoint approximation,in stead of traditional recurrence relation,is used for credit risk measurement in the new model.Finally,simulations show that the method is effective.

Key words: Credit Risk⁺, saddlepoint approximation, severity