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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
Basel
15%
Basel II
16%
Bayesian Methods
32%
Confidence Set
95%
Default Correlation
93%
Default Risk
14%
Dynamic Factor Model
17%
Economic Capital
16%
Factors
4%
Financial Institutions
11%
Point Estimation
20%
Portfolio Credit Risk
100%
Posterior Distribution
17%
Rating
12%
Rating Transitions
21%
Risk Capital
16%
State Variable
14%
Statistical Model
18%
Systemic Risk
14%
Uncertainty
7%