the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Probability of Loss on Loan Portfolio

by Oldrich Vasicek of KMV Corp.

February 12, 1987

Opening Paragraph: Consider a portfolio consisting of n loans in equal dollar amounts. Let the probability of default on any one loan be p, and assume that the values of the borrowing companies' assets are correlated with a coefficient ρ for any two companies. We wish to calculate the probability distribution of the percentage gross loss L on the portfolio, that is,


Download paper (55K PDF) 6 pages