Loan portfolio value - Using a conditional independence framework, the author derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distributon suitable for trades portfolios, and shows how credit migration and granularity can be incorporated into this model too.
| Year of publication: |
2002
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|---|---|
| Authors: | Vasicek, Oldrich |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 12, p. 160-162
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