The Distribution of Loan Portfolio Value

DefaultRisk.com the web's biggest credit risk modeling resource.

Submit Your Paper

Fitch Ratings Jobs

[ Worldwide]

Post Your Résumé
For Recruiters

Featured Book

Paris-Princeton Lectures on Mathematical Finance 2004 Finance 2004
by Rene A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyen Pham, Erik Taflin, Springer, (October 1, 2007), Paperback, 248 pages

Training Discounted for DefaultRisk.com visitors only:

The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM

Sponsor:
Shop at Amazon.com and support DefaultRisk.com

The Distribution of Loan Portfolio Value

by Oldrich Alfons Vasicek of KMV

December 2002

Abstract: In this paper, we derive the distribution of the portfolio loss under certain assumptions. It is shown that this distribution converges with increasing portfolio size to a limiting type, whose analytical form is given here. The results of the first two sections of this paper are contained in the author's technical notes, Vasicek (1987) and (1991). For a review of recent literature on the subject, see, for instance, Pykhtin and Dev (2002) *.

* Pykhtin, Michael and Ashish Dev, "Analytical Approach to Credit Risk Modelling ", Risk, Vol. 15, No. 3, (March 2002), pp. S26-S32.

Published in: RISK, Vol. 15, No. 12, (December 2002), pp. 160-162.

Download paper (103K PDF) 10 pages