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Dependence Modelling, Model Risk and Model Calibration in Models of Portfolio Credit Risk
Year Of Publication: 2002
Month Of Publication: September
Pages: 25
Download Count: 1309
View Count: 7923
Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 1-1-2004
Publisher: Administrator
Summary
We consider mathematical models for portfolio credit risk. We analyze the mathematical structure and in particular the modelling of dependence between default events in these models and propose extensions of standard industry models. We study the model risk related to the choice of model structure and input parameters. Finally we develop and test several approaches to model calibration in credit risk models.
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Frey, Rudiger Sign in to follow this author
McNeil, Alexander Sign in to follow this author
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