TY - JOUR
T1 - Tail behaviour of credit loss distributions for general latent factor models
AU - Lucas, A.
AU - Klaassen, P.
AU - Straetmans, S.T.M.
AU - Spreij, P.J.C.
PY - 2003
Y1 - 2003
N2 - 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 idiosyncratic risk factors. The model encompasses default mechanisms in popular models of portfolio credit risk, such as CreditMetrics and CreditRisk
AB - 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 idiosyncratic risk factors. The model encompasses default mechanisms in popular models of portfolio credit risk, such as CreditMetrics and CreditRisk
U2 - 10.1080/1350486032000160786
DO - 10.1080/1350486032000160786
M3 - Article
SN - 1350-486X
SP - 337
EP - 357
JO - Applied Mathematical Finance
JF - Applied Mathematical Finance
ER -
