Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk (Q2259722)

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Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk
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    Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk (English)
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    5 March 2015
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    asset correlation
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    Bayesian confidence intervals
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    portfolio credit risk
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    probability of default
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    MCMC
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    serial dependence
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