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01-023/2 - Tail Behavior of Credit Loss Distributions for General Latent Factor Models

  • Authors
    André Lucas, Vrije Universiteit Amsterdam; Pieter Klaassen, ABN AMRO Bank NV; Peter Spreij, University of Amsterdam; Stefan Straetmans, Maastricht University
  • Publication date
    February 26, 2001
  • Keywords
    portfolio credit risk; extreme value theory; tail events; tail index; factor models; economic capital; portfolio quality; second-order expansions
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