Research and publications
Approximating Independent Loss Distributions with an Adjusted Binomial Distribution
The author describes an approximation methodology for constructing independent loss distributions based on adjusting the binomial distribution. This method can handle both homogeneous and heterogeneous loss portfolios. He finds that this simple algorithm provides an excellent fit to the exact distribution for a broad range of correlations and portfolio credit quality.
Author(s):
Dominic O'Kane
Summary:
The author describes an approximation methodology for constructing independent loss distributions based on adjusting the binomial distribution. This method can handle both homogeneous and heterogeneous loss portfolios. He finds that this simple algorithm provides an excellent fit to the exact distribution for a broad range of correlations and portfolio credit quality.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 26/04/2007 |
| Keywords : |
Asset Pricing |
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