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We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively … dependence of the level and shape of the term structure of conditional future bankruptcy probabilities on a firm's distance to …
Persistent link: https://www.econbiz.de/10012467947
This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...
Persistent link: https://www.econbiz.de/10012469533