Credit portfolios: What defines risk horizons and risk measurement?
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- Merton, Robert C., 1973.
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684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
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"On the coherence of Expected Shortfall,"
cond-mat/0104295, arXiv.org, revised May 2002.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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