Thilo Schmitt

University of Duisburg-Essen

Lotharstrasse 1

Duisburg, 47048

Germany

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Credit Risk: Taking Fluctuating Asset Correlations into Account

Journal of Credit Risk, Vol. 11, No. 3, 2015
Number of pages: 22 Posted: 16 Jun 2016
Thilo Schmitt, Rudi Schäfer and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
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Abstract:

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nonstationarity, random matrix theory, Merton model, value-at-risk