Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Large homogeneous pool » ?

Definition 15.3 Rates, Credit, XVA and Risk · Chapitre 15 — Portfolio Credit

The large homogeneous pool approximation takes infinitely many identical names: given zz the loss fraction is exactly (1−R) p(t∣z)(1-R)\,p(t\mid z), so the pool’s loss is a monotone function of the factor and its distribution is available in closed form (the limit Vasicek derived for loan portfolios).

Lire dans le chapitre →