Consistent Assumptions for Modeling Credit Loss 3270 Correlations

Abstract

∗∗ 3274 We consider a single period portfolio of n dependent credit risks that are 3275 subject to default during the period. We show that using stochastic loss given 3276 default random variables in conjunction with default correlations can give rise 3277 to an inconsistent set of assumptions for estimating the variance of the port3278 folio loss. Two sets… (More)

Topics

Figures and Tables

Sorry, we couldn't extract any figures or tables for this paper.

Slides referencing similar topics