Analytic Loss Distributions of Heterogeneous Portfolios In The Asset Value Credit Risk Model

19 Pages Posted: 7 May 2003

See all articles by Uwe Wehrspohn

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Date Written: April 2003

Abstract

We provide an analytic solution to the asset value credit risk model that allows for heterogeneous correlations, default probabilities, recovery rates and exposures given certain regularity conditions are fulfilled.

Additionally, we extend the asset value model to include event risks such as country risk or dependencies between individual clients and derive analytic loss distributions and loss densities.

All results can be implemented in spreadsheet calculators such as Microsoft Excel or Lotus 1-2-3.

Keywords: credit portfolio risk, analytical loss distribution, country risk, microeconomic risk, asset value model

JEL Classification: C63, G21

Suggested Citation

Wehrspohn, Uwe, Analytic Loss Distributions of Heterogeneous Portfolios In The Asset Value Credit Risk Model (April 2003). Available at SSRN: https://ssrn.com/abstract=395360 or http://dx.doi.org/10.2139/ssrn.395360

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

Nietzschestraße 20
Mannheim, D-68165
Germany
+49 (0) 621 14626754 (Phone)

HOME PAGE: http://www.wehrspohn.info

University of Wuerzburg ( email )

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Wuerzburg, Bavaria 97070
Germany
+49 (0)931 / 3184806 (Phone)
+49 (0)931 / 312 95 5 (Fax)

HOME PAGE: http://www.fzrm.uni-wuerzburg.de

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