8 search results - page 1 / 2 » Calibrating Credit Portfolio Loss Distributions |
WSC
2004
13 years 6 months ago
2004
Determination of credit portfolio loss distributions is essential for the valuation and risk management of multiname credit derivatives such as CDOs. The default time model has re...
WSC
2004
13 years 6 months ago
2004
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
WSC
2007
13 years 7 months ago
2007
A credit derivative is a path dependent contingent claim on the aggregate loss in a portfolio of credit sensitive securities. We estimate the value of a credit derivative by Monte...
WSC
2004
13 years 6 months ago
2004
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
IOR
2008
13 years 4 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...