Provisioning against borrowers default risk (Q903327)

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Provisioning against borrowers default risk
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    title
    Provisioning against borrowers default risk (English)
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    author
    Geoffrey Nichil
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    Pierre Vallois
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    publication date
    5 January 2016
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    zbMATH DE Number
    6526554
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    zbMATH Keywords
    borrower default risk
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    individual stochastic provisioning
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    Poisson point process
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    geometric Brownian motion
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    time of default
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    quantile
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