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Keywords: Credit portfolio risk
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Journal Articles
Empirical estimation of default and asset correlation of large corporates and banks in India
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2012) 14 (1): 87–99.
Published: 28 December 2012
... is the joint default probability of two obligors in a uniform portfolio with parameters PD and implicit AC ρ. © Emerald Group Publishing Limited 2013 Banks Portfolio investment Correlation analysis Risk management Default correlation Asset correlation Credit portfolio risk...
