文章基本信息

标题：Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model
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作者：Nikola Tarashev ; Haibin Zhu ; Monetary 等
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2008
卷号：2008
期号：02
出版社：IJCB Publications Fulfillment
摘要：This paper focuses on the asymptotic single-risk-factor (ASRF) model in order to analyze the impact of specification and calibration errors on popular measures of portfolio credit risk. Violations of key assumptions of this model are found to be virtually inconsequential, especially for large, welldiversified portfolios. By contrast, flaws in the calibrated interdependence of credit risk across exposures, caused by plausible small-sample estimation errors or rule-of-thumb values of asset return correlations, can lead to significant inaccuracies in measures of portfolio credit risk. Similar inaccuracies arise under standard assumptions regarding the tails of the distribution of asset returns.