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The art of probability-of-default curve calibration
Home
Publications
The art of probability-of-default curve calibration
The art of probability-of-default curve calibration
Author:
Dirk Tasche
Dirk Tasche
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1 December 2013
journal article
Published by
Infopro Digital Services Limited
in
Journal of Credit Risk
Vol. 9
(4)
,
63-103
DOI:
10.21314/jcr.2013.169
Abstract
No abstract available
Keywords
MODEL CALIBRATION
PROBABILITY OF DEFAULT (PD)
CREDIT RATINGS
CREDIT RISK
All Related Versions
Version 1, 2012-12-15, ArXiv (Unconfirmed version)
Version 2, 2013-01-24, ArXiv (Unconfirmed version)
Version 3, 2013-04-27, ArXiv (Unconfirmed version)
Version 4, 2013-08-16, ArXiv (Unconfirmed version)
Version 5, 2013-10-19, ArXiv (Unconfirmed version)
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