  We consider the problem of concurrent portfolio losses in two non-overlapping
credit portfolios. In order to explore the full statistical dependence
structure of such portfolio losses, we estimate their empirical pairwise
copulas. Instead of a Gaussian dependence, we typically find a strong asymmetry
in the copulas. Concurrent large portfolio losses are much more likely than
small ones. Studying the dependences of these losses as a function of portfolio
size, we moreover reveal that not only large portfolios of thousands of
contracts, but also medium-sized and small ones with only a few dozens of
contracts exhibit notable portfolio loss correlations. Anticipated
idiosyncratic effects turn out to be negligible. These are troublesome insights
not only for investors in structured fixed-income products, but particularly
for the stability of the financial sector.
