The Limits of Granularity Adjustments
Year of publication: |
2013-12
|
---|---|
Authors: | Fermanian, Jean-David |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Subject: | Credit portfolio model | Granularity adjustment | Value-at-risk | Fourier Transform |
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