Anzeige
Erschienen in:
2009 | OriginalPaper | Buchkapitel
Introduction
Erschienen in: Concentration Risk in Credit Portfolios
Verlag: Springer Berlin Heidelberg
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
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.