Thanks for the help GammaTau. However I have already found the error. There was a small error in my integration routine. Now the expected loss on the whole portfolio is the same across the correlation range (0,1).

<t>Hi, I have a question that I guess a lot of you know the answer to. As most of you know the expected loss of a portfolio is not dependent on the level of correlation in a Gaussian copula framework. However in my model there seems to be a precision error when correlation becomes quite high, i.e. a...

what was the math test like?

What can be expected in terms of questions for a model validation interview?

DJ CDX indices for the US and ITRAXX for Europe and Asia. You can see further info on the ITRAXX on www.indexco.com.

<t>I agree with Wibble. You have to generate the curve for all quarterly points to match it more closely because the quoted spreads that you are using are usually quarterly CDS's. Therefore the farther you go the more error you encounter. Also you need to be sure that you are using the same discount...