Difference between revisions of "Vasicek Distribution"
From Open Risk Manual
Wiki admin (talk | contribs) (Created page with "== Definition == The '''Vasicek Distribution''' is a special probability distribution that emerges in the context of Threshold Models used in Credit Portfolio Model | cr...") |
Wiki admin (talk | contribs) |
||
Line 19: | Line 19: | ||
== Seel Also == | == Seel Also == | ||
* [[Risk Distribution]] | * [[Risk Distribution]] | ||
+ | |||
+ | == References == | ||
+ | <references/> | ||
[[Category:Quantitative Tools]] | [[Category:Quantitative Tools]] |
Latest revision as of 14:16, 19 February 2022
Definition
The Vasicek Distribution is a special probability distribution that emerges in the context of Threshold Models used in credit portfolio modelling. It was first introduced in[1]. There are two versions, the finite portfolio case and its limiting case wher the number of exposures in a portfolio assumed infinitely many / infinitely small.
Finite Portfolio Case
In the finite case the probability mass of D=k defaults out of a pool of N credits with equal probability of default p is
where G(z) denotes the inverse cumulative distribution function
Limit Case
The limit case arrises as a limit distribution of the sum of conditionally independent Bernulli variables
Usage
Used extensively in as a simple model of portfolio loss (also in Basel II as the ASRF model)
Seel Also
References
- ↑ Vasicek O., Probability of loss on loan portfolio, 1987