Urn-based models for dependent credit risks and their calibration through EM algorithm
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- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-05 (All new papers)
- NEP-ECM-2008-05-05 (Econometrics)
- NEP-RMG-2008-05-05 (Risk Management)
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