Abstract
A credit portfolio model (CPM) is a credit VaR approach (CVaR). Credit portfolio models are mostly designed as multi-factor models.
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© 2014 Springer-Verlag Berlin Heidelberg
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Wernz, J. (2014). Appendix: Credit Portfolio Modeling. In: Bank Management and Control. Management for Professionals. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-40374-3_11
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DOI: https://doi.org/10.1007/978-3-642-40374-3_11
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