Jill Bewick

Independent

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Modeling Dependent Risk Factors with CreditRisk

Journal of Credit Risk, Vol. 14, No. 2, 2018
Number of pages: 16 Posted: 31 Aug 2018
Xiaohang Zhang, SuBang Choe, Ji Zhu and Jill Bewick
Beijing University of Posts and Telecommunications (BUPT), Independent, University of Michigan at Ann Arbor and Independent
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Abstract:

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credit portfolio risk, CreditRisk model, dependent structure, risk factors, mixed vector model.