A limit distribution of credit portfolio losses with low default probabilities
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KeywordsCredit portfolio loss; Extreme risk; Limit distribution; Loss given default; Model risk; Multivariate regular variation; Tail dependence;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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