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Modelling Default Rate Dynamics in the CreditRisk+ Framework

Boegelein, Leif, Hamerle, Alfred, Rauhmeier, Robert and Scheule, Harald (2002) Modelling Default Rate Dynamics in the CreditRisk+ Framework. Risk 15 (10).

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When using conditional independence frameworks such as CreditRisk+, identifying multiple sectors that embody systematic factors can be a challenge. Leif Boegelein, Alfred Hamarle, Robert Rauhmeier and Harald Scheule show how the technique of seemingly unrelated regressions can be used for sector analysis, when applied to very large SME (small and medium-size enterprise) portfolios.

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Item type:Article
Date:October 2002
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Dewey Decimal Classification:300 Social sciences > 330 Economics
300 Social sciences > 310 General statistics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:8250
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