distributions of both risk factors are thin-tailed,the credit loss distribution may have a finite tail index (polynomial tails … loss. This unconventionalbehaviour of the credit loss density has not been reported earlier in theliterature. We also … derive analytically the interaction between portfolioquality and credit loss tail behavior and find a striking difference …

the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of … the subordinated creditor is likely to also yield a large loss of the senior creditor …