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Hien Ngoc Ho
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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On the Parameterization of the Creditrisk-Plus Model for Estimating Credit Portfolio Risk
Insurance: Mathematics and Economics, Vol. 42, No. 2, 2008
Number of pages: 24
Posted: 16 Mar 2009
Antoine Vandendorpe
, Hien Ngoc Ho,
Steven Vanduffel
and
Paul Van Dooren
affiliation not provided to SSRN
,
affiliation not provided to SSRN
, Vrije Universiteit Brussel (VUB) and Catholic University of Louvain
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Abstract:
Basel II, KMV, Asset Correlations, Default Correlations
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