Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling
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- Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent) 007, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
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Cited by:
- GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
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More about this item
Keywords
Dynamic Factor Model; Forecasting; Stochastic Simulation; Risk Management; Banking;All these keywords.
JEL classification:
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2007-06-23 (Banking)
- NEP-FOR-2007-06-23 (Forecasting)
- NEP-RMG-2007-06-23 (Risk Management)
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