CREDIT PORTFOLIO MODELLING: TAKING TO THE SADDLE - An analytical technique to construct the loss distribution of correlated events.
| Year of publication: |
2001
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|---|---|
| Authors: | Martin, Richard ; Thompson, Kevin ; Browne, Christopher |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 14.2001, 6, p. 91-94
|