The credit risk + model with general sector correlations
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References listed on IDEAS
- Gordy, Michael B., 2002. "Saddlepoint approximation of CreditRisk+," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1335-1353, July.
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- Petr Hájek, 2012. "Credit rating analysis using adaptive fuzzy rule-based systems: an industry-specific approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 421-434, September.
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KeywordsCredit risk + ; Compound gamma distribution; Value at risk; Risk contribution; Correlation; Portfolio loss distribution; Moment generating function;
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