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How Robust is the Value-at-Risk of Credit Risk Portfolios?
In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e.
In this regard, many industry participants as well as Basel III and Solvency II regulatory frameworks rely on the so-called "Merton's model of the firm" to estimate Value-at-Risk1 (VaR) of their credit risk portfolios and use this risk number as input to establish capital requirements.
However, like any other credit risk portfolio model, the KMV model requires several ad-hoc assumptions that are hard to justify, and it is thus inherently subject to model uncertainty.
In this paper, we aim at assessing the magnitude of model uncertainty of credit risk portfolio models, i.e.
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