Giuseppe Missaglia

Iccrea Banca

Roma

Italy

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Scholarly Papers (1)

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Business Cycle Effects on Portfolio Credit Risk: Scenario Generation Through Dynamic Factor Analysis

Number of pages: 22 Posted: 15 Feb 2005
Andrea Cipollini and Giuseppe Missaglia
University of Palermo - d/SEAS and Iccrea Banca
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Abstract:

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Risk management, default correlation, Dynamic Factor