Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
Year of publication: |
2006-12-01
|
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Authors: | Ehlers, Philippe ; Schönbucher, Philipp J. |
Institutions: | Institut für Schweizerisches Bankwesen <Zürich> |
Subject: | Kreditrisiko | Cox-Regressionsmodell | Korrelation | Default Correlations | Punktprozess |
Extent: | 330752 bytes 26 p. application/pdf |
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Series: | Working Paper ; 362 (2005) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G13 - Contingent Pricing; Futures Pricing ; Employment of capital, capital investment planning and estimate of investment profitability ; Econometrics ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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