@article {Ramaswamy91, author = {Srichander Ramaswamy}, title = {Simulated Credit Loss Distribution}, volume = {31}, number = {4}, pages = {91--99}, year = {2005}, doi = {10.3905/jpm.2005.570155}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Standard portfolio credit risk models provide an assessment of the potential credit loss that could result from changes to the credit quality of different obligors held in a bond portfolio. In practice, a significant portion of the credit loss can also result from changes to credit spreads that may or may not be directly related to the obligor{\textquoteright}s creditworthiness. Comparison of the simulated credit loss distribution for an investment-grade corporate bond portfolio generated using standard credit risk models and the historical credit loss distribution of a similar portfolio indicates that the two are quite dissimilar. Several modifications can be made to the standard portfolio credit risk model to reduce this discrepancy.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/31/4/91}, eprint = {https://jpm.pm-research.com/content/31/4/91.full.pdf}, journal = {The Journal of Portfolio Management} }