Estimating distance-to-defauIt with a sector-specific liability adjustment via sequential Monte Carlo
Year of publication: |
[2017]
|
---|---|
Authors: | Duan, Jin-Chuan ; Wang, W.-T. |
Published in: |
Applied quantitative finance. - Berlin, Germany : Springer, ISBN 3-662-54485-7. - 2017, p. 73-91
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Subject: | Insolvenz | Insolvency | Prognoseverfahren | Forecasting model | Kreditrisiko | Credit risk | Schätztheorie | Estimation theory | Verbindlichkeiten | Corporate debt | Branche | Economic sector | Theorie | Theory | Schätzung | Estimation | USA | United States |
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