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Portfolio Credit Risk
Company: FRBNY Economic Policy Review
Year Of Publication: 1998
Month Of Publication: October
Pages: 71-82
Download Count: 1751
View Count: 8964
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-10-2003
Publisher: Administrator
Summary
This paper describes a new and intuitive methodfor tabulating the exact loss distribution arising from correlated credit events for any arbitrary portfolio of counterparty exposures, down to the individual contract level, with the losses measured on a marked-to-market basis that explicitly recognises the potential impact of defaults and credit migrations. The importance of tabulating the exact loss distribution ishighlighted by the fact that counterparty defaults and rating migrations cannot be predicted with perfect foresight and are not perfectly correlated, implying that managementfaces a distribution of potential losses rather than a single potential loss.
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Wilson, Thomas Sign in to follow this author
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