Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model
Year of publication: |
2008
|
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Authors: | Tarashev, Nikola ; Zhu, Haibin |
Published in: |
International Journal of Central Banking. - International Journal of Central Banking. - Vol. 4.2008, 2, p. 129-173
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Publisher: |
International Journal of Central Banking |
Extent: | application/pdf text/html |
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Type of publication: | Article |
Language: | English |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; G13 - Contingent Pricing; Futures Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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