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

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TextPublication details: 2007Description: V. 17 Issue. 1 48 to 58Other title:

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

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

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