Probability of default using APT model: Case of Moroccan banking system
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- Clare, Andrew D, 1995. "Using the Arbitrage Pricing Theory to Calculate the Probability of Financial Institution Failure: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 920-926, August.
- Clare, Andrew & Priestley, Richard, 2002.
"Calculating the probability of failure of the Norwegian banking sector,"
Journal of Multinational Financial Management, Elsevier, vol. 12(1), pages 21-40, February.
- Andrew Clare & Richard Priestley, "undated". "Calculating the probability of failure of the Norwegian banking sector," CERF Discussion Paper Series 97-02, Economics and Finance Section, School of Social Sciences, Brunel University.
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Keywords
Probability of default; APT model; Financial market;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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