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This paper first provides a simple but very general framework for credit portfolio modellingwhich is based on the … very large, infinitelyfine-grained portfolio. The framework contains typical models like CreditRisk+and CreditMetrics as … granularity adjustment in a"lumpy" credit portfolio. …
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Normalverteilungshypothese einfach als ein bestimmtes Vielfaches der Portfolio-Standardabweichung gegeben ist. In diesem Fall ergeben sich außer …
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