Dependence properties of dynamic credit risk models (Q2909818)
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scientific article; zbMATH DE number 6078495
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dependence properties of dynamic credit risk models |
scientific article; zbMATH DE number 6078495 |
Statements
Dependence properties of dynamic credit risk models (English)
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6 September 2012
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portfolio credit risk
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hazard rate model
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reduced-form model
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copula
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association
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0.8316543698310852
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0.824325442314148
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0.822670042514801
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0.8185840845108032
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