Tarashev, Nikola A.; Zhu, Haibin - 2014
measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure … inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible … inaccuracies in measures of portfolio credit risk. Similar inaccuracies arise under erroneous, albeit standard, assumptions …