Tail behaviour of credit loss distributions for general latent factor models
Year of publication: |
2003
|
---|---|
Authors: | Lucas, André ; Klaassen, Pieter ; Spreij, Peter ; Straetmans, Stefan |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 10.2003, 4, p. 337-357
|
Subject: | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Theorie | Theory |
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