On the dependence between default risk and recovery rates in structural models
Year of publication: |
2020
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Authors: | Fermanian, Jean-David |
Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 140.2020, p. 45-82
|
Subject: | Default Probability | Recovery Rate | Copulas | Structural Models | Jumps | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory |
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