Simulation and Estimation of Loss Given Default
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More about this item
KeywordsBimodality; EM Algorithm; Loss Given Default; Maximum Likelihood; Mixture Distribution; Portfolio Simulation;
All these keywords.
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CMP-2010-05-15 (Computational Economics)
- NEP-ECM-2010-05-15 (Econometrics)
- NEP-RMG-2010-05-15 (Risk Management)
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