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Year: 2002 Publisher: Cambridge, Mass. National Bureau of Economic Research
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This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating exposure limits, and in allocating risk capital across different lines of business. Assuming that, for a given total loss, the distress caused by the loss is larger if the loss occurs within a smaller time period, we provide a large-deviations estimate of the likelihood that there will exist a sub-period of the future planning period during which a total loss of the critical severity occurs. Under conditions, this calculation is reduced to the calculation of the likelihood of the same sized loss over a fixed initial time interval whose length is a property of the portfolio and the critical loss level.
Book
ISBN: 0849362881 Year: 1985 Publisher: Boca Raton (Fla.) : CRC press,
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Grain --- Losses. --- Postharvest technology.
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ISBN: 0894130943 Year: 1982 Publisher: Altamonte Springs (Fla.) : Institute of internal auditors,
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Eggs --- Losses --- Transportation
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Borax --- Crop losses --- Fertilizers
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Book
Year: 2007 Publisher: Ft. Collins, CO : U.S. Dept. of Agriculture, Animal and Plant Health Inspection Service, Veterinary Services, National Animal Health Monitoring System,
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Book
Year: 2021 Publisher: [Beltsville, Md.] : United States Department of Agriculture, Farm Service Agency,
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Digital
Year: 1800 Publisher: London Printed by H. Reynell for J. Hatchard
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