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Abstract: We derive an analytic approximation to the credit loss distribution of large portfolios by letting the number of exposures tend to infinity. Defaults and rating migrations for individual exposures are driven by a factor model in order to capture comovements in changing credit quality. The limiting credit loss distribution obeys the empirical stylized facts of skewness and heavy tails. We showhow portfolio features like the degree of systematic risk, credit quality and term to maturity affect... (Update)
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BibTeX entry: (Update)
Lucas, Andre, Pieter Klaassen, Peter Spreij, and Stefan Staetmans (1999). "An analytic approach to credit risk of large corporate bond and loan portfolios." Research Memorandum 1999-18, Vrije Universiteit Amsterdam. http://citeseer.ist.psu.edu/lucas00analytic.html More
@misc{ andre99analytic,
author = "A. Lucas and P. Klaassen and P. Spreij and S. Staetmans",
title = "An analytic approach to credit risk of large corporate bond and loan portfolios",
note = "Research Memorandum 1999-18, Vrije Universiteit Amsterdam.",
year = "1999",
url = "citeseer.ist.psu.edu/lucas00analytic.html" }
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