Stressing rating criteria allowing for default clustering: the CPDO case
Year of publication: |
2007-10-05
|
---|---|
Authors: | Torresetti, Roberto ; Pallavicini, Andrea |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | CPDO Rating | Rating Arbitrage | Structured Finance | Loss Distribution | Loss Dynamics | Cluster Default Dynamics | Gap Risk |
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