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For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these … how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping … available for similar results. -- confidence region ; credit portfolio risk ; estimation uncertainty ; bootstrapping …
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which include estimation uncertainty but ignore default correlation might estimate the real credit risk more correctly than … the underlying probability distributions of these intervals. -- probability of default ; estimation uncertainty ; risk …
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