Granularity adjustment for default risk factor model with cohorts
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- Gordy, Michael B. & Marrone, James, 2012.
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More about this item
KeywordsFactor model; Granularity adjustment; Systematic risk; Idiosyncratic risk;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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