Daniel Stahl

Branch Banking and Trust Corporate (BB&T)

200 West Second Street

Winston-Salem, NC 27101

United States

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Loss Distributions: Computational Efficiency in an Extended Framework

Journal of Credit Risk, Vol. 11, No. 4, 2015
Number of pages: 14 Posted: 16 Jun 2016
Daniel Stahl
Branch Banking and Trust Corporate (BB&T)
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Abstract:

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CreditRiskC, mixture models, credit portfolio, Fourier inversion, loss distribution