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The loss given default of a low-default portfolio with weak contagion
Wei Li,
Zhongyi Yuan
Year
2015
Venue
Insurance Mathematics and Economics
Type
article
Citations
10
DOI
10.1016/j.insmatheco.2015.10.005
OpenAlex
W2175270633
Topics
Probability and Risk Models
Portfolio
Limiting
Loss given default
Econometrics
Credit risk