Modeling the distribution of credit losses with observable and latent factors
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- Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
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More about this item
Keywordscredit risk; probability of default; loss distribution; stress test; contagion;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2007-04-28 (Banking)
- NEP-ECM-2007-04-28 (Econometrics)
- NEP-MAC-2007-04-28 (Macroeconomics)
- NEP-RMG-2007-04-28 (Risk Management)
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