A dimension reduction approach for loss valuation in credit risk modeling
Year of publication: |
2024
|
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Authors: | He, Jian ; Khedher, Asma ; Spreij, Peter |
Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 11.2024, 1, Art.-No. 2350058, p. 1-48
|
Subject: | Bayesian filter | credit risk | loss valuation | Theorie | Theory | Kreditrisiko | Credit risk | Verlust | Loss | Bayes-Statistik | Bayesian inference | Portfolio-Management | Portfolio selection |
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