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Confidence sets for asset correlations in portfolio credit risk
Carlos Castro
Faculty of Economics
Research output
:
Contribution to journal
›
Article
›
peer-review
7
Scopus citations
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Dive into the research topics of 'Confidence sets for asset correlations in portfolio credit risk'. Together they form a unique fingerprint.
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Business & Economics
Portfolio Credit Risk
100%
Confidence Set
95%
Default Correlation
93%
Bayesian Methods
32%
Rating Transitions
21%
Point Estimation
20%
Statistical Model
18%
Dynamic Factor Model
17%
Posterior Distribution
17%
Economic Capital
16%
Basel II
16%
Risk Capital
16%
Basel
15%
State Variable
14%
Systemic Risk
14%
Default Risk
14%
Rating
12%
Financial Institutions
11%
Uncertainty
7%
Factors
4%