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 …

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 …