Markov chain Monte Carlo estimation of default and recovery : dependent vial the latent systematic factor
Year of publication: |
2013
|
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Authors: | Luo, Xiaolin ; Shevchenko, Pavel V. |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 9.2013, 3, p. 40-76
|
Subject: | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Risikomodell | Risk model | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Methode | Statistical method |
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