Matheus Rodrigues

Universidade de Sao Paulo

Brazil

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Scholarly Papers (1)

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Measuring Default Risk for a Portfolio of Equities

Number of pages: 17 Posted: 08 Dec 2017 Last Revised: 23 Jul 2018
Matheus Rodrigues and Andre Maialy
Universidade de Sao Paulo and University of São Paulo (USP)
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Abstract:

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FRTB; default risk; equities; multi-factor model