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~subject:"State-Dependent Recovery Rate"
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State-Dependent Recovery Rate
Conditional Factor Loading
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Credit risk
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Estimation
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Factor analysis
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Faktorenanalyse
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Kreditrisiko
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Copula-based factor model for credit risk analysis
Lu, Meng-Jou
;
Chen, Cathy Yi-Hsuan
;
Härdle, Wolfgang Karl
-
2015
proposes to incorporate a state-dependent recovery rate into the
conditional
factor
loading
, and model them by sharing a unique …
Persistent link: https://www.econbiz.de/10011380692
Saved in:
2
Copula-based factor model for credit risk analysis
Lu, Meng-Jou
;
Chen, Cathy Yi-Hsuan
;
Härdle, Karl Wolfgang
-
2015
-
This version: August 20, 2015
proposes to incorporate a state-dependent recovery rate into the
conditional
factor
loading
, and model them by sharing a unique …
Persistent link: https://www.econbiz.de/10011313568
Saved in:
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