ESTIMATION OF DEFAULT DEPENDENCY USING HISTORICAL DEFAULT DATA : MAXIMUM LIKELIHOOD ESTIMATION OF ASSET CORRELATION WITH 2-FACTOR MODEL
نویسندگان
چکیده
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ژورنال
عنوان ژورنال: Transactions of the Operations Research Society of Japan
سال: 2007
ISSN: 1349-8940,2188-8280
DOI: 10.15807/torsj.50.42