Credit rating impact on CDO evaluation
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References listed on IDEAS
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2001. "Prototype risk rating system," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 47-95, January.
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KeywordsBusiness cycle Collateralized Debt Obligation Correlation Credit risk Default probability Point-in-time Portfolio Through-the-cycle;
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