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Paper / 2025SMQ / 55303368549571
Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
Anand N. Vidyashankar / Fengnan Deng / Jeffrey F. Collamore
credit risk / probabilityResource overview

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk

Paper2025

by Anand N. Vidyashankar, Fengnan Deng, Jeffrey F. Collamore

Tags
credit riskprobabilitytail risk

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Understand this paper

Suggested foundations for credit and counterparty risk and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

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Explore Counterparty Credit Risk and CVA Explore Quantitative Risk Management

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