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Author Info
Giesecke, Kay
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File URL: http://www.sciencedirect.com/science/article/B6VCY-490H2J4-4/2/675f538d3abce53fd6da7361079059cd
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 7 (July)
Pages: 1521-1545
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Handle: RePEc:eee:jbfina:v:28:y:2004:i:7:p:1521-1545

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  1. Francis A. Longstaff & Brett Myers, 2009. "Valuing Toxic Assets: An Analysis of CDO Equity," NBER Working Papers 14871, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre. [Downloadable!]
  3. Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers wp2006_0606, CEMFI. [Downloadable!]
  4. Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  5. Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  6. Jose Giancarlo Gasha & Carlos I. Medeiros & Marcos Souto & Christian Capuano & Andre Santos & Jorge A. Chan-Lau, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 09/162, International Monetary Fund. [Downloadable!]
  7. Viviana Fernández, 2007. "Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement," Documentos de Trabajo 242, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
  8. Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Abel Elizalde, 2006. "Credit Risk Models Iii: Reconciliation Reduced - Structural Models," Working Papers wp2006_0607, CEMFI. [Downloadable!]
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