Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-BAN-2010-11-20 (Banking)
- NEP-RMG-2010-11-20 (Risk Management)
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