Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...

The skewness of a statistical distribution is often used to determine whether that distribution is symmetric or not. Such a determination is misleading. To show this we have analyzed a broad range of (classes of) skewness measures – complying with the requirements of a general skewness measure...