HIGHLIGHTS
- who: Jeffrey F. Collamore and collaborators from the Department of Mathematical Sciences, University of Copenhagen, Universitetsparken, Copenhagen, Denmark have published the Article: Sharp Probability Tail Estimates for Portfolio Credit Risk, in the Journal: Risks 2022, 10, 239. of /2022/
- what: The aim of this work is to develop sharp asymptotics for the tails of the total loss distribution. Under some natural conditions on the decay of dn u2193 -u221e, the authors show that if the distribution of {ei } is symmetric, then Ln P > x ~ Fu0304Z (|b| Fe-1 ( x ) - dn ) as n u2192 u221e, n . . .
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