AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY
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Publication:2816962
DOI10.1142/S0219024916500369zbMath1396.91790MaRDI QIDQ2816962
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Publication date: 26 August 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
consistencyrisk managementdefault correlationKolmogorov forward equationprobability of defaultcredit analysisfirst-passage-time model
Cites Work
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