On measuring credit risks of derivative instruments
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- Gregory R. Duffee, 1994. "On measuring credit risks of derivative instruments," Finance and Economics Discussion Series 94-27, Board of Governors of the Federal Reserve System (U.S.).
References listed on IDEAS
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- Oda, Nobuyuki & Muranaga, Jun, 1997. "A New Framework for Measuring the Credit Risk of a Portfolio: The "ExVaR" Model," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 15(2), pages 27-62, December.
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