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Lucas et al., 2001 - Google Patents

An analytic approach to credit risk of large corporate bond and loan portfolios

Lucas et al., 2001

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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 …
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Classifications

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    • G06Q40/00Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06Investment, e.g. financial instruments, portfolio management or fund management
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    • G06Q40/00Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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