Large Portfolio Losses
收藏NBER2002-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w9177
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资源简介：
This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating
提供机构：
美国国家经济研究局
创建时间：
2002-09-01
