Multi-period structural model of a mortgage portfolio with cointegrated factors
Year of publication: |
2016
|
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Authors: | Gapko, Petr ; Šmíd, Martin |
Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 66.2016, 6, p. 565-574
|
Subject: | credit risk | mortgage | loan portfolio | dynamic model | estimation | Hypothek | Mortgage | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Kointegration | Cointegration | Theorie | Theory | Schätzung | Estimation |
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