The loss given default of a low-default portfolio with weak contagion (Q903339)

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The loss given default of a low-default portfolio with weak contagion
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    The loss given default of a low-default portfolio with weak contagion (English)
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    5 January 2016
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    asymptotic analysis
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    asymptotic (in)dependence
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    credit contagion
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    default probability
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    loss given default
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    low-default portfolio
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    risk measure
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    Sarmanov distribution
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