Tail Behavior of Credit Loss Distributions for General Latent Factor Models

A. Lucas, P. Klaassen, P.J.C. Spreij, S.T.M. Straetmans

Research output: Working paperProfessional

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Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages22
Publication statusPublished - 2001

Publication series

NameTI Discussion Paper
No.01-023/2

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