Skip to main content
Article thumbnail
Location of Repository

Taken To The Limit: Simple And Not-So-Simple Loan Loss Distributions

By Philipp J. Schönbucher and Philipp J. Sch Önbucher

Abstract

Formulae for the distribution of the losses of a loan portfolio that are both realistic and simple enough to be implemented in a spreadsheet are hard to come by. The most prominent example is the Vasicek (1987) formula which is based upon a simplified version of the multivariate Merton (1974) model. Using an algorithm from the theory of Archimedean Copula functions, this paper gives some more limiting loss distributions which are driven by random variables with different dependency structures

Year: 2002
OAI identifier: oai:CiteSeerX.psu:10.1.1.19.3040
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.finasto.uni-bonn.de... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.