A new approach to credit ratings
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DOI: 10.1016/j.jbankfin.2021.106097
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- Chen, Dangxing & Ye, Jiahui & Ye, Weicheng, 2023. "Interpretable selective learning in credit risk," Research in International Business and Finance, Elsevier, vol. 65(C).
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Keywords
Credit rating; Probability of exceedance; Buffered probability of exceedance; Expected shortfall; Conditional value at risk; CVaR; Value at risk; VaR; Loss given default; Collateralized debt obligation; CDO; Tranche structuring; Portfolio optimization; Credit Default Swap; CDS;All these keywords.
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