Forecasting Credit Portfolio Risk
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References listed on IDEAS
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More about this item
Keywordsasset correlation; bank regulation; Basel II; credit risk; default correlation; default probability; logit model; probit model;
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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