Dependent default and recovery: Markov chain Monte Carlo study of downturn loss given default credit risk model (Q4638469)
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scientific article; zbMATH DE number 6867027
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| English | Dependent default and recovery: Markov chain Monte Carlo study of downturn loss given default credit risk model |
scientific article; zbMATH DE number 6867027 |
Statements
Dependent default and recovery: Markov chain Monte Carlo study of downturn Loss Given Default credit risk model (English)
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8 May 2018
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credit risk
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Markov chain Monte Carlo
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Bayesian inference
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0.8065353035926819
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0.7634187340736389
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0.7370822429656982
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0.7246647477149963
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0.7219464182853699
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