Tail behavior of credit loss distributions for general latent factor models

S.T.M. Straetmans, A. Lucas, P. Spreij, P. Klaassen

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)1-21
Number of pages21
JournalApplied Mathematical Finance
Volume10
Publication statusPublished - 1 Jan 2003

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