Lucas et al., 2001 - Google Patents
An analytic approach to credit risk of large corporate bond and loan portfoliosLucas et al., 2001
View PDF- Document ID
- 3945909913823436151
- Author
- Lucas A
- Klaassen P
- Spreij P
- Straetmans S
- Publication year
- Publication venue
- Journal of Banking & Finance
External Links
Snippet
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 co-movements in changing credit …
- 210000000538 Tail 0 abstract description 24
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- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
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- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
- G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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