Tail behaviour of credit loss distributions for general latent factor models
| Year of publication: |
2003
|
|---|---|
| Authors: | Lucas, André ; Klaassen, Pieter ; Spreij, Peter ; Straetmans, Stefan |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1350-486X, ZDB-ID 12824094. - Vol. 10.2003, 4, p. 337-358
|