A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach (Q4673736)
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scientific article; zbMATH DE number 2166447
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| English | A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach |
scientific article; zbMATH DE number 2166447 |
Statements
A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach (English)
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9 May 2005
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credit risk measurement
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binomial expansion technique (BET)
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default probabilities
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Bayesian filtering method
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value at risk (VaR)
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0.739917516708374
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0.7383561730384827
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0.7225629687309265
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