Granularity adjustment for default risk factor model with cohorts
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DOI: 10.1016/j.jbankfin.2011.12.013
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Cited by:
- Gordy, Michael B. & Marrone, James, 2012.
"Granularity adjustment for mark-to-market credit risk models,"
Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
- Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series 2010-37, Board of Governors of the Federal Reserve System (U.S.).
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More about this item
Keywords
Factor model; Granularity adjustment; Systematic risk; Idiosyncratic risk;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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