/


Risk aggregation and Extreme Events [38]

Go to: Summary | Previous | Next   
Bullet points include: Suppose also that all obligors have same default probability p (and cut-off c) then probability Pk that a fraction k/m of the obligors default is: C.f. ‘nth-to-default’ credit default swaps (and other multi-name CDS), attachment / detachment points for CDOs, CLOs etc.

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series


Desktop view | Switch to Mobile