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Integrating market and credit risk using a simplified frailty default correlation structure

Kuo, Cheng Kun and Lee, Chih Wei

Integrating market and credit risk using a simplified frailty default correlation structure 2007 - 2007 - 48 to 58 V. 17 Issue. 1

An integrated market and credit risk model with frailty variables Deriving proportional hazard model with frailty factor

Subjects--Topical Terms:
Finance

Subjects--Index Terms: Credit;Hazard model;Risk model

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