The gentle proposal : a model of applied defoult probabilities and GARCH volatility
Year of publication: |
2010
|
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Authors: | Corelli, Angelo |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 4.2010/11, 1, p. 46-56
|
Subject: | Kreditrisiko | Credit risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Unternehmensanleihe | Corporate bond | USA | United States |
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