Part Four
Credit

The probability of loss on a homogeneous portfolio of corporate loans converges with the number of loans c04-math-001 to the distribution function

equation

where L is the portfolio gross loss, p is the probability of default on any one loan, and ρ is the correlation coefficient between the asset values of any two of the borrowing companies. (page 148)

..................Content has been hidden....................

You can't read the all page of ebook, please click here login for view all page.
Reset
18.224.64.10