standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently … the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our …

regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key … ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …