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Subject
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Correlated defaults 1 bank capital 1 estimation error 1 granularity 1 multiple common factors 1 tail dependence 1 value at risk 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Tarashev, Nikola A. 1 Zhu, Haibin 1
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Bank for International Settlements (BIS) 1
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BIS Working Papers 1
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RePEc 1
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Modelling and calibration errors in measures of portfolio credit risk
Tarashev, Nikola A.; Zhu, Haibin - Bank for International Settlements (BIS) - 2007
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...
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