Portfolio Risk and Dependence Modeling
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"Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements,"
NBER Chapters, in: Prudential Supervision: What Works and What Doesn't, pages 197-232,
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- Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
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Gaussian copula; Factor model; Copula model;All these keywords.
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