Jakob Sidenius

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A New Framework for Dynamic Credit Portfolio Loss Modelling

International Journal of Theoretical and Applied Finance, Vol. 11, No. 2, pp. 163-197, 2008

Posted: 30 Nov 2009

Jakob Sidenius, Vladimir Piterbarg and Leif B. G. Andersen

Independent, NatWest MarketsImperial College London and Bank of America

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