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- W2058173353 abstract "The strong autocorrelation between economic cycles demands that we analyze credit portfolio risk in a multiperiod setup. We embed a standard one-factor model in such a setup. We discuss the calibration of the model to Standard & Poor's ratings data in detail. But because single-period risk measures cannot capture the cumulative effects of systematic shocks over several periods, we define an alternative risk measure, which we call the time-conditional expected shortfall(TES), to quantify credit portfolio risk over a multiperiod horizon." @default.
- W2058173353 created "2016-06-24" @default.
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- W2058173353 date "2006-01-01" @default.
- W2058173353 modified "2023-09-27" @default.
- W2058173353 title "Credit Portfolios: What Defines Risk Horizons and Risk Measurement?*" @default.
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- W2058173353 doi "https://doi.org/10.2139/ssrn.831725" @default.
- W2058173353 hasPublicationYear "2006" @default.
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