A Generalized Endogenous Grid Method for Default Risk Models
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More about this item
Keywords
Credit and credit aggregates; Credit risk management;JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2021-03-15 (Dynamic General Equilibrium)
- NEP-MAC-2021-03-15 (Macroeconomics)
- NEP-ORE-2021-03-15 (Operations Research)
- NEP-RMG-2021-03-15 (Risk Management)
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