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.
