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Modelling Dependent Defaults: Asset Correlations Are Not Enough!
Year Of Publication: 2001
Month Of Publication: March
Pages: 8
Download Count: 6
View Count: 1430
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-16-2010
Publisher: Administrator
Summary
This article may be understood as a model risk study in the context of latent variable models. Individual default probabilities and asset correlations are insufficient to determine the portfolio loss distribution. For large portfolios of tens of thousands of counterparties there remains considerable model risk. Risk managers who employ the latent variable methodology must be aware of this.
Author(s)
Frey, Rudiger Sign in to follow this author
McNeil, Alexander Sign in to follow this author
Nyfeler, Mark A. Sign in to follow this author
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