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- W3150251131 abstract "We derive explicit sharp bounds on the distribution of the number of defaults from a pool of obligors with common probability of default and default correlation. These bounds are extremely wide, implying that default probabilities and default correlations only very loosely determine probabilities of severe portfolio losses. Our results quantify and thereby reinforce Gordy’s (2002) statement that “Capital decisions ... depend on higher moments”." @default.
- W3150251131 created "2021-04-13" @default.
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- W3150251131 date "1999-01-01" @default.
- W3150251131 modified "2023-09-23" @default.
- W3150251131 title "Severe Loss Probabilities in Portfolio Credit Risk Models" @default.
- W3150251131 hasPublicationYear "1999" @default.
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