HIGHLIGHTS
- who: Ju00f3zsef Vu00f6ru00f6s from the (UNIVERSITY) have published the article: Some properties of the maximum loss on loan portfolios, in the Journal: (JOURNAL)
- what: This model determines the probability of defaults for homogenous financial assets with the assumption that the correlation between the values of any two assets is the same, and the default probability (PD) is conditional upon a macro state.
SUMMARY
Requesting financial institutions to have sufficient capital to cover unexpected, rare situations, especially since the 2008 crisis, the loss, and probability of default analysis are interesting for financial . . .
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