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Quantitative Finance · Glossário

O que é Large homogeneous pool?

Definition 15.3 Rates, Credit, XVA and Risk · Capítulo 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).

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