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Credit Risk Management (Cont.). (2009). Fantazzini, Dean.
In: Applied Econometrics.
RePEc:ris:apltrx:0028.

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  1. Оптимальный размер банковского резерва: прогноз просроченной кредитной задолженности с использованием копÑ. (2015). Князев А. Г., ; Казакова К. А., ; Лепёхин О. А., .
    In: Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки.
    RePEc:scn:guhrje:2015_4_06.

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  2. A copula-based approach to portfolio credit risk modeling. (2013). Bologov, Yaroslav .
    In: Applied Econometrics.
    RePEc:ris:apltrx:0202.

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  3. Анализ значений суверенного кредитного рейтинга и его моделирование. (2011). Кузнецов Евгений Николаеви, ; Брагин Антон Игоревич, .
    In: Российский внешнеэкономический вестник.
    RePEc:scn:018481:14823118.

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References

References cited by this document

    References contributed by anatoly-4440

  1. Bharath S., Shumway T. (2008). Forecasting Default with the Merton Distance to Default Model. Review of Financial Studies, 21 (3), 1339–1369.

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  4. Fantazzini D. (2008). Credit Risk Management. Applied Econometrics, 12 (4), 84-137.

  5. Fantazzini D., Degiuli E. and Maggi M. (2008). A new Approach for Firm Value and Default Probability Estimation beyond the Merton Models. Computational Economics, 31 (2), 161-180.

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  10. Lucas D. (1995). Default Correlation and Credit Analysis. Journal of Fixed Income, 11, 76–87.
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  11. Wilson T. (1997). Measuring and Managing Credit Portfolio Risk: Part I: Modelling Systematic Default Risk. The Journal of Lending and Credit Risk Management, July, 61–72.
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  12. Wilson T. (1997). Measuring and Managing Credit Portfolio Risk: Part II: Portfolio Loss Distributions. The Journal of Lending and d Credit Risk Management, August, 67–78.
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