BIS releases working paper on credit risk
The Bank for International Settlements has published a paper entitled Modeling and calibration errors in measures of portfolio credit risk.
The paper develops a system to assess the impact of model misspecification and calibration errors on measures of portfolio credit risk. Its authors are BIS researcher Nikola Tarashev and Haibin Zhu, professor of Computer Science and Mathematics at Nipissing University in Canada.
To view the paper, click here.
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