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Measuring and managing market, credit and Op risk [60]

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Bullet points include: If we assume that the individual are independent gamma-distributed random variables with and then the (approximate) unconditional pgf of the number of defaults out of ?? obligors is. Can then derive likelihood of any given number of losses given efficient recursive algorithms for sequentially deriving coefficients of polynomial expansions of this sort. Refinements can capture impact of non-zero recoveries

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