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Comment on: “A portfolio view of consumer credit”

✍ Scribed by Annamaria Lusardi

Book ID
113725704
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
177 KB
Volume
53
Category
Article
ISSN
0304-3932

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## Abstract Thanks to the recent development of analytical pricing models for swaps with bilateral credit risk, a comprehensive analysis of the dimensions of default risk has become possible. Using the model developed by Hübner (2001) for IRS and CS, this article investigates the impact of structur