A random matrix approach to credit risk

HIGHLIGHTS

• who: Michael C. Münnix et al. from the Faculty of Physics, University of Duisburg-Essen, Essen, Germany have published the Article: A Random Matrix Approach to Credit Risk, in the Journal: PLOS ONE | www.plosone.org of May/22,/2014
• what: The authors demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. To circumvent this problem the authors develop an improved approximation in the next section. ^ 1 (z) and m ^ 2 (z), the z integral needs Due to the . . .
  

   

  

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