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  • Re-thinking recovery
    Loss-given-default presents an even bigger modelling challenge than default probability. A re-sampling casts light on the best approach

    12 years ago

  • Modelling default distributions
    Joe Pimbley looks at the use of models by Gauss and Vasicek in the analysis of distributions of default, and at how a combination of the two can add further detail to the picture they give

    12 years ago

2 results found Showing page 1 of 1

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