Loss Simulation
Posted: June 17th, 2005, 2:35 pm
I'm looking at a portfolio of loans from the same industry and have been provided with a single default probability and a loss given default for each loan in the portfolio. I'm trying to simulate expected income from the portfolio over a 10 year period but I'm not sure what loss distribution to assume for the simulation.If anyone could give me any suggestions/point me in the direction of some useful papers then this would be much appreciated. I've just downloaded a copy of Vasicek's " Probability of Loss on Loan Portfolio".Many thanks