Severe Loss Probabilities in Portfolio Credit Risk Models

We derive explicit sharp bounds on the distribution of the number of defaults from a pool of obligors with common probability of default and default correlation. These bounds are extremely wide, implying that default probabilities and default correlations only very loosely determine estimates of severe portfolio losses. Our results quantify and thereby reinforce Gordy's (2002) statement that quot;Capital decisions . . . depend on higher momentsquot

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Year of publication:	[2004]
Authors:	Babbs, Simon H.
Other Persons:	Johnson, Andrew (contributor)
Publisher:	[2004]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 9, 2004 erstellt
Other identifiers:	10.2139/ssrn.504282 [DOI]
Classification:	G31 - Capital Budgeting; Investment Policy ; C16 - Specific Distributions ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012738515