Factor Models: Portfolio Credit Risks When Defaults are Correlated

Philipp J. Schönbucher

Journal of Risk Finance, 2001, vol. 3, issue 1, 45-56

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Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:eb043482

DOI: 10.1108/eb043482

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