Using a limiting approach to portfolio credit risk, we obtain analytic expressions for the tail behavior of credit losses. To capture the co-movements in defaults over time, we assume that defaults are triggered by a general, possibly non-linear, factor model involving both systematic and...

In models of decision making under uncertainty, one typically has to approximate the uncertainties by a limited number of discrete outcomes. Høyland and Wallace (2001) formulate a nonlinear programming problem to generate such a limited number of discrete outcomes while satisfying specified...