On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk (Q998291): Difference between revisions

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On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
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    On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk (English)
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    28 January 2009
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    default correlation
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    aggregation
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    factorization
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    Panjer's recursion
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