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 …

deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on … defaulted loans can be predicted with certainty, i.e., that loss given default (LGD) is non-random. In practice, however, LGD is … to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …