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"Devil in the Parameters" is a relatively new research paper that investigates the impact of parameter inconsistencies by studying identical portfolios using commercially available software packages CreditMetrics, PortfolioManager and CreditRisk+ with their natural data sets, according to the report's author, Ugur Koyluoglu, a senior consultant at Oliver, Wyman & Company. His findings show that the models produce significantly different results for identical portfolios, at both the aggregate
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