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Persistent link: https://www.econbiz.de/10002133168
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and …
Persistent link: https://www.econbiz.de/10003209701