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Korean Journal of Financial Studies 2007;36(2):223-236.
Published online April 30, 2007.
Loss Given Default Modeling under the Asymptotic Single Risk Factor Assumption
Joo Cheol Kim, Woo Hwan Kim, Ki Hyung Kim
Loss Given Default Modeling under the Asymptotic Single Risk Factor Assumption
Joo Cheol Kim, Woo Hwan Kim, Ki Hyung Kim
Key Words: Basel 2,Loss-given-default,Regulatory capital,Risk,Systematic risk
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