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Keywords: Contingent credit
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2011) 13 (1): 77–94.
Published: 30 December 2011
...Pinaki Bag; Michael Jacobs, Jr Purpose The purpose of this paper is to build an easy to implement, pragmatic and parsimonious yet accurate model to determine an exposure at default (EAD) distribution for CCL (contingent credit lines) portfolios. Design/methodology/approach Using an algorithm...
