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Severe Loss Probabilities in Portfolio Credit Risk Models

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Figure

Table 1:  Probabilities of various numbers of defaults in a portfolio of 1000 credits in which each credit hasprobability of default q=5%, and pairwise correlations of default are all ρ=7.66%
Figure 1:  Graphs of default correlation (ρ) plotted against the volatility of the macroeconomic index (σ)

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