Many financial institutions provide loans to secondary firms, whose economic survival depends on the economic condition of primary firms. Even if loans from primary firms are not held in the loan portfolio, the financial distress of primary firms can adversely affect the loan portfolio of a financial institution. This paper describes a simple model that can be used for risk management. Our model directly incorporates the dependence of the conditional probability of default and loss given default of secondary firms on primary firms. Two simple examples show that failure to account for such dependence can result in the value-at-risk and the expected shortfall being greatly underestimated.

中文翻译：

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主要公司驱动的投资组合损失

许多金融机构向二级企业提供贷款，二级企业的经济生存取决于一级企业的经济状况。即使初级公司的贷款不包含在贷款组合中，初级公司的财务困境也会对金融机构的贷款组合产生不利影响。本文描述了一个可用于风险管理的简单模型。我们的模型直接结合了违约条件概率和二级公司违约损失对一级公司的依赖性。两个简单的例子表明，如果不考虑这种依赖性，可能会导致风险价值和预期缺口被大大低估。