Modeling correlated market and credit risk in fixed income portfolios
Year of publication: |
2002
|
---|---|
Authors: | Barnhill, Theodore M. ; Maxwell, William F. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 26.2002, 2/3, p. 347-374
|
Subject: | Kreditrisiko | Credit risk | Zinsrisiko | Interest rate risk | Währungsrisiko | Exchange rate risk | Theorie | Theory | Risikomaß | Risk measure |
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