Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors
Year of publication: |
2012
|
---|---|
Authors: | Gapko, Petr ; Smid, Martin |
Published in: |
Czech Journal of Economics and Finance (Finance a uver). - Institut ekonomických studií, ISSN 0015-1920. - Vol. 62.2012, 2, p. 125-140
|
Publisher: |
Institut ekonomických studií |
Subject: | credit risk | probability of default | loss given default | credit loss | credit loss distribution | Basel II |
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