Ramaswamy, Srichander, "Simulated Credit Loss Distribution: Can we rely on it?", Journal of Portfolio Management, Vol. 31, No. 4, (Summer 2005), pp. 91-99.

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'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.

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