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Equidependence in Qualitative and Duration Models with Application to Credit Risk
Year Of Publication: 2003
Month Of Publication: March
Pages: 50
Download Count: 686
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 8-17-2005
Publisher: Administrator
Summary
The aim of this paper is to introduce factor models for joint analysis of interdependent individual defaults.
Author(s)
Gourieroux, Christian Sign in to follow this author
Monfort, Alain Sign in to follow this author
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