Showing 1 - 10 of 92
This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the...
Persistent link: https://www.econbiz.de/10003512271
Persistent link: https://www.econbiz.de/10013431881
Persistent link: https://www.econbiz.de/10010495391
Persistent link: https://www.econbiz.de/10010495635
Persistent link: https://www.econbiz.de/10010433937
Persistent link: https://www.econbiz.de/10001675900
Persistent link: https://www.econbiz.de/10001675932
Persistent link: https://www.econbiz.de/10001685472
Persistent link: https://www.econbiz.de/10002190130
Persistent link: https://www.econbiz.de/10003939777