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| Author: | Lucas, A. (et al.) |
| Title: | An analytic approach to credit risk of large corporate bond and loan portfolios |
| Journal: | Journal of Banking and Finance
2001 : SEP, VOL. 25:9, p. 1635-1664 |
| Index terms: | CREDIT CONTROL LOSS PORTFOLIO INVESTMENT |
| Language: | eng |
| Abstract: | The authors derive an analytic approximation to the credit loss distribution of large portfolios by letting the number of exposures tend to infinity. Defaults and rating migrations for individual exposures are driven by a factor model in order to capture co-movements in changing credit quality. The limiting credit loss distribution obeys the empirical stylized facts of skewness and heavy tails. |
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