We derive the exact loss distribution for portfolios of bonds or cor-porate loans when the number of risks grows indefinitely. We show that in many cases this distribution lies in the maximal domain of attraction of the Weibull (Type III) limit law. Knowledge of the dis-tribution and its tail...

Many financial time-series show leptokurtic behavior, i.e., fat tails. Such tail behavior is important for risk management. In this paper I focus on the calculation of Value-at-Risk (VaR) as a downside-risk measure for optimal asset portfolios. Using a framework centered around the Student t...

Internal risk management models and downside-risk measures such as Value-at-Risk (VaR) play an important role in contemporary banking practice. VaR measures the maximum loss born by a bank or other financial institution over a certain time period and given a certain level of confidence....

Internal risk management models and downside-risk measures such as Value-at-Risk (VaR) play an important role in contemporary banking practice. VaR measures the maximum loss born by a bank or other financial institution over a certain time period and given a certain level of confidence....

We derive the exact loss distribution for portfolios of bonds or cor-porate loans when the number of risks grows indefinitely. We show that in many cases this distribution lies in the maximal domain of attraction of the Weibull (Type III) limit law. Knowledge of the dis-tribution and its tail...

Many financial time-series show leptokurtic behavior, i.e., fat tails. Such tail behavior is important for risk management. In this paper I focus on the calculation of Value-at-Risk (VaR) as a downside-risk measure for optimal asset portfolios. Using a framework centered around the Student t...