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~person:"Cheng, Dan"
~person:"Kopecsni, Juraj"
~source:"econstor"
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Search: subject:"Loss Given Default"
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loss given default
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Kreditgeschäft
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Kreditrisiko
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LGD
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Osteuropa
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Schätzung
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Theorie
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bank loan
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credit risk
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dependence
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fractional responses
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ordinal regression
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probability of default
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quasi-maximum likelihood estimator
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Cheng, Dan
Kopecsni, Juraj
Gürtler, Marc
4
Witzany, Jiří
4
Heithecker, Dirk
3
Camba-Méndez, Gonzalo
2
Charamza, Pavel
2
Creal, Drew
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Koopman, Siem Jan
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Schwaab, Bernd
2
Seidler, Jakub
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Serwa, Dobromil
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Belyaev, Konstantin
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Belyaeva, Aelita
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Böttger, Marc
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Chalupka, Radovan
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Choroś, Barbara
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Cirillo, Pasquale
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Diris, Bart
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François, Pascal
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Guthoff, Anja
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Heidorn, Thomas
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Hibbeln, Martin
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Hunt, Clive
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Härdle, Wolfgang Karl
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Joubert, Morne
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Kaposty, Florian
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Kole, Erik
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Konečný, Tomáš
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ECONIS (ZBW)
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An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages
Cheng, Dan
;
Cirillo, Pasquale
- In:
Risks
7
(
2019
)
3
,
pp. 76
the
loss
given
default
in a portfolio of exposures, using a bivariate urn process. The model combines the power of …
Persistent link: https://www.econbiz.de/10013200494
Saved in:
2
Modelling bank loan LGD of corporate and SME segments: A case study
Chalupka, Radovan
;
Kopecsni, Juraj
-
2008
The aim of this paper is to propose a methodology to estimate
loss
given
default
(LGD) and apply it to a set of micro …
Persistent link: https://www.econbiz.de/10010322197
Saved in:
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