Computational techniques for basic affine models of portfolio credit risk (Q3639928)
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English | Computational techniques for basic affine models of portfolio credit risk |
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Computational techniques for basic affine models of portfolio credit risk (English)
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26 October 2009
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credit derivatives
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portfolio loss distribution
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market frictions
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corporate defaults
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Gaussian copula
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Andersen-Sidenius-Basu algorithm
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