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Search: subject:"Conditional factor loading"
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Conditional Factor Loading
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Copula-based factor model for credit risk analysis
Lu, Meng-Jou
;
Chen, Cathy Yi-Hsuan
;
Härdle, Wolfgang Karl
-
2015
proposes to incorporate a state-dependent recovery rate into the
conditional
factor
loading
, and model them by sharing a unique …
Persistent link: https://www.econbiz.de/10011380692
Saved in:
2
Copula-based factor model for credit risk analysis
Lu, Meng-Jou
;
Chen, Cathy Yi-Hsuan
;
Härdle, Karl Wolfgang
-
2015
-
This version: August 20, 2015
proposes to incorporate a state-dependent recovery rate into the
conditional
factor
loading
, and model them by sharing a unique …
Persistent link: https://www.econbiz.de/10011313568
Saved in:
3
Copula-based factor model for credit risk analysis
Lu, Meng-Jou
;
Chen, Cathy Yi-Hsuan
;
Härdle, Wolfgang
- In:
Review of quantitative finance and accounting
49
(
2017
)
4
,
pp. 949-971
Persistent link: https://www.econbiz.de/10011797579
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