Historical Credit Portfolio Loss Distribution: Using Expected Default Frequency

Korean Journal of Financial Studies 2006;35(5):109-136.
Published online October 31, 2006.

신용 포트폴리오의 역사적 손실분포 추정

김미애

Key Words: 경기상황,부도상관계수,신용등급,역사적 손실분포,Business cycle,Credit rating,Default correlation,EDF,Expected default frequency,Historical portfolio Loss distribution

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