Estimating LGD Correlation
Year of publication: |
2009-09
|
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Authors: | Witzany, Jiří |
Institutions: | Institut ekonomických studií, Univerzita Karlova v Praze |
Subject: | credit risk | recovery rate | loss given default | correlation | regulatory capital |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2009/21 15 pages |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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