Econometric Analysis of Financial Data in Risk Management
This part completes the consultation series of Dean Fantazzini dealing with econometric analysis of financial data in credit risk management. Particularly, analysis of multidimensional credit risk models is continued from the previous discussion
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- Gordy, Michael B., 2000.
"A comparative anatomy of credit risk models,"
Journal of Banking & Finance,
Elsevier, vol. 24(1-2), pages 119-149, January.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
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