convergence research model curious accuracy credit reserve model function number simulations use question think important calculate credit reserve assumptions underlying model pretty rough anyway mean assumptions regarding price processes correlations etc question becomes essential talk calculating sensitivities credit reserve various factors magnitude sensitivity comparable accuracy calculation credit reserve accuracy sensitivity performed numerical experiment calculated expected loss simple portfolio one counterparty sithe ind power different number simulations 10 100 1000 10000 100000 using old research credit model see result converges relative error compared result 100000 simulations assumed accurate attached file tanya