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~subject:"Basler Eigenkapitalvereinbarung <2001>"
~subject:"Macroeconomic risk"
~type_genre:"Arbeitspapier"
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Basler Eigenkapitalvereinbarung <2001>
Macroeconomic risk
Analysis of variance
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Correlation
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Credit portfolio management
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Credit risk
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Credit risk models
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Default correlations
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Korrelation
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Kreditrisiko
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Option pricing theory
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Optionspreistheorie
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Erlenmaier, Ulrich
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Gersbach, Hans
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Default probabilities and
default
correlations
Erlenmaier, Ulrich
;
Gersbach, Hans
-
2001
-
First Version: April 2000, This Version: October 2001
between
default
correlations
. We show that loans with higher default probabilities will not only have higher variances but …
Persistent link: https://www.econbiz.de/10010503718
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