Portfolio credit risk of default and spread widening
Year of publication: |
2011-12-06
|
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Authors: | Zhao, Hongbiao |
Institutions: | London School of Economics (LSE) |
Subject: | portfolio credit risk | stress test | economic capital | default risk | spread widening risk | Copula | Basel III |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 21 pages |
Classification: | C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; C51 - Model Construction and Estimation ; G18 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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