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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 Pk 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).

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