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The effects of estimation error on measures of portfolio credit risk

✍ Scribed by Gunter Löffler

Book ID
117528486
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
484 KB
Volume
27
Category
Article
ISSN
0378-4266

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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