  We estimate generic statistical properties of a structural credit risk model
by considering an ensemble of correlation matrices. This ensemble is set up by
Random Matrix Theory. We demonstrate analytically that the presence of
correlations severely limits the effect of diversification in a credit
portfolio if the correlations are not identically zero. The existence of
correlations alters the tails of the loss distribution considerably, even if
their average is zero. Under the assumption of randomly fluctuating
correlations, a lower bound for the estimation of the loss distribution is
provided.
