Default probabilities and default correlations
Year of publication: |
2001 ; First Version: April 2000, This Version: October 2001
|
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Authors: | Erlenmaier, Ulrich ; Gersbach, Hans |
Publisher: |
Frankfurt a. M. : Deutsche Bank Research |
Subject: | Credit portfolio management | Default correlations | Pricing of loans | Macroeconomic risk | Credit risk models | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Theorie | Theory | Varianzanalyse | Analysis of variance | Korrelation | Correlation |
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