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I wonder if anyone here has read the following paper by Paul Kupiec in which he approximates a loss rate distribution for a portfolio composed of (possibly) concentrated bond positions.

https://www.researchgate.net/publication/275344283_Portfolio_Diversification_in_Concentrated_Bond_and_Loan_Portfolios

I am particularly referring to the table on page 21 and the column "Concentrated Distribution Cumulative Probability"and how he gets there from a standard binomial distribution.

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