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

Wei Li, Zhongyi Yuan
Year2015
VenueInsurance Mathematics and Economics
Typearticle
Citations10
DOI10.1016/j.insmatheco.2015.10.005
OpenAlexW2175270633

Topics

Probability and Risk ModelsPortfolioLimitingLoss given defaultEconometricsCredit risk