We consider a single period portfolio of n dependent credit risks that are subject to default during the period. We show that using stochastic loss given default random variables in conjunction with default correlations can give rise to an inconsistent set of assumptions for estimating the...

Distorted expectations can be expressed as weighted averages of quantiles. In this note, we show that this statement is true, but that one has to be careful with the correct formulation of it. Furthermore, the proofs of the additivity property for distorted expectations of a comonotonic sum that...