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Published in:
2009 | OriginalPaper | Chapter
Introduction
Published in: Concentration Risk in Credit Portfolios
Publisher: Springer Berlin Heidelberg
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When measuring credit risk, we are particularly interested in dependencies between certain extreme credit events. In connection with the LTCM case the
Business Week
stated in September 1998:
Extreme, synchronized rises and falls in financial markets occur infrequently but they do occur. The problem with the models is that they did not assign a high enough chance of occurrence to the scenario in which many things go wrong at the same time – the “perfect storm” scenario.