Modelling and calibration errors in measures of portfolio credit risk
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References listed on IDEAS
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KeywordsCorrelated defaults; value at risk; multiple common factors; granularity; estimation error; tail dependence; bank capital;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-14 (All new papers)
- NEP-BAN-2007-08-14 (Banking)
- NEP-RMG-2007-08-14 (Risk Management)
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