Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors
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References listed on IDEAS
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More about this item
Keywordscredit risk; probability of default; loss given default; credit loss; credit loss distribution; Basel II;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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