An analytic approach to credit risk of large corporate bond and loan portfolios

Journal of Banking and Finance

Volumn 25, Issue 9, 2001, Pages 1635-1664

  Lucas, André ^a,b   Klaassen, Pieter ^a,c   Spreij, Peter ^d   Straetmans, Stefan ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b TINBERGEN INSTITUTE   (Netherlands)

^c ABN AMRO Corporate Research   (Netherlands)

^d UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Asymptotic analysis; C19; Credit risk; Factor model; Fat tails; G21; G29; G33; Nonnormal factors; Skewness

Indexed keywords

EID: 0042908833     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00147-3     Document Type: Article

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