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Board of Governors of the Federal Reserve
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Capital allocation, banking regulation, value-at-risk
Counterparty Credit Risk, Credit Default Swaps, Central Clearing
Counterparty credit risk, Credit default swaps, Central clearing
Credit cards, Consumer switching costs, Adverse selection
Granularity adjustment, idiosyncratic risk, portfolio credit risk, value-at-risk, expected shortfall
nested simulation, loss distribution, value-at-risk, expected shortfall, jackknife estimator, dynamic allocation
Credit risk, securitization, structured credit, rating agencies
Bayesian estimation, CDS, CIR process, Credit derivatives, MCMC, Particle filter, Stochastic time change
Stochastic time change, default intensity, credit risk, CDS options
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time change, default intensity, credit risk, CDS options
Square-root diffusion, CIR process, multivariate gamma distribution, difference of gamma variates, Krishnamoorthy-Parthasarathy distribution, Kibble-Moran distribution, Bell polynomials
Bankruptcy, Credit risk, Debt default, Recovery rates
Basel II, granularity adjustment, value-at-risk, idiosyncratic risk
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