Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective
Year of publication: |
2008-03
|
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Authors: | Allen, David E ; Powell, Robert |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Value at risk | Conditional value at risk | Credit risk | Conditional probabilities of default | Structural modelling |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C10 - Econometric and Statistical Methods: General. General ; G10 - General Financial Markets. General ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
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