01-023/2 - Tail Behavior of Credit Loss Distributions for General Latent Factor Models

• Authors
  André Lucas, Vrije Universiteit Amsterdam; Pieter Klaassen, ABN AMRO Bank NV; Peter Spreij, University of Amsterdam; Stefan Straetmans, Maastricht University
• Publication date
  February 26, 2001

• Keywords
  portfolio credit risk; extreme value theory; tail events; tail index; factor models; economic capital; portfolio quality; second-order expansions