The loss given default of a low-default portfolio with weak contagion (Q903339)
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scientific article; zbMATH DE number 6526561
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The loss given default of a low-default portfolio with weak contagion |
scientific article; zbMATH DE number 6526561 |
Statements
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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0.8786461
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0.8631328
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0.85105324
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0.8499153
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0.84727496
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0.8418764
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0.8417977
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0.8372902
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0.8361821
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