PPT Slide

If the portfolio is made up of N asset types, then the loss distribution

under correlated defaults can be obtained by combining loss distribution

of at most 2N scenarios.

References

1. K. M. Nagpal and R. Bahar, “An analytical approach for credit risk

analysis under correlated defaults,” CreditMetrics Monitor

(April 1999) p.51-74.

2. K. M. Nagpal and R. Bahar, “Modelling default correlation,”

Risk (April 2001) p.85-89.