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Credit Risk

Technical paper

Maximum likelihood estimate of default correlations

Author: Paul Demey, Jean-FrÃ©dÃ©ric Jouanin, CÃ©line Roget and Thierry Roncalli

Source: Risk magazine | 01 Nov 2004

Categories: Credit Risk

Topics: Default risk, Merton models, Quantitative analysis

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Maximum likelihood estimate of default correlations

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