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Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable infection modelʺ can provide a meaningful estimate of the impact of...
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In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and …
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credit-file information on distressed lending relationships in Germany. In particular, it includes information on creditor …
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