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Estimating Credit Contagion in a Standard Factor Model

Rösch, Daniel and Winterfeldt, Birker (2008) Estimating Credit Contagion in a Standard Factor Model. Risk 21, pp. 78-82.

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Other URL: http://www.risk.net/data/risk/pdf/technical/2008/risk_0808_technical_cpr.pdf

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Item type:Article
Date:1 August 2008
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Item ID:8004
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