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- 2007619403 abstract "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 well-known Asymptotic Single-Risk Factor (ASRF) model are virtually inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible small-sample estimation errors or popular rule-of-thumb values of asset return correlations, can lead to significant inaccuracies in measures of portfolio credit risk. Similar inaccuracies arise under erroneous, albeit standard, assumptions regarding the tails of the distribution of asset returns.".
- 2007619403 contributor B11049499.
- 2007619403 contributor B11049500.
- 2007619403 contributor B11049501.
- 2007619403 created "c2007.".
- 2007619403 date "2007".
- 2007619403 date "c2007.".
- 2007619403 dateCopyrighted "c2007.".
- 2007619403 description "Includes bibliographical references.".
- 2007619403 description "Mode of access: World Wide Web.".
- 2007619403 description "System requirements: Adobe Acrobat Reader.".
- 2007619403 description "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 well-known Asymptotic Single-Risk Factor (ASRF) model are virtually inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible small-sample estimation errors or popular rule-of-thumb values of asset return correlations, can lead to significant inaccuracies in measures of portfolio credit risk. Similar inaccuracies arise under erroneous, albeit standard, assumptions regarding the tails of the distribution of asset returns.".
- 2007619403 hasFormat "Also available in print.".
- 2007619403 identifier work230.htm.
- 2007619403 isFormatOf "Also available in print.".
- 2007619403 isPartOf "BIS working papers, 1682-7678 ; no. 230".
- 2007619403 issued "2007".
- 2007619403 issued "c2007.".
- 2007619403 language "eng".
- 2007619403 publisher "Basel, Switzerland : Bank for International Settlements,".
- 2007619403 relation "Also available in print.".
- 2007619403 requires "Mode of access: World Wide Web.".
- 2007619403 requires "System requirements: Adobe Acrobat Reader.".
- 2007619403 subject "Correlated defaults ; Value at risk ; Multiple common factors ; Granularity ; Estimation error ; Tail dependence ; Bank capital".
- 2007619403 subject "HG3879".
- 2007619403 title "Modelling and calibration errors in measures of portfolio credit risk [electronic resource] / by Nikola Tarashev and Haibin Zhu.".
- 2007619403 type "text".