Before revision:  The analytical solution for this case can be used to study the properties of the conditional loss distributions and to discuss how they relate to the identification of risk concentrations .
After revision:  The analytical solution for this case can be used to study the properties of the conditional loss distribution whereby the unconditional model is run with stressed input probabilities of default (PDs). It turns out that this approximation is unbiased. Numerical examples, however, suggest that the approximation may be seriously inaccurate but that the inaccuracy leads to overestimation of tail losses and hence the approach errs on the conservative side .