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Limiting Loan Loss Probability Distribution by Oldrich Vasicek of KMV Corp. August 9, 1991 Opening Paragraph: The cumulative probability that the percentage loss on a portfolio of n loans does not exceed θ is
where P_{k} are given by an integral expression in Oldrich Vasicek's memo, Probability of Loss on Loan Portfolio, 2/12/87 (attached at the end of this note). Download paper (55K PDF) 6 pages
