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Aspects of Loan Guarantees Portfolio Diversification
Merton and Bodie 1992, Greenwald 1998, Lonkevich 2000). Guarantees can be implicit or explicit; for instance ... mV dt + S dzV + sVW · dzVW where mV = [mV1, mV2, …, mVN]' is the mean vector, S 2 = S S' the covariance ...- Authors: Michel Gendron, Application Administrator
- Date: Jan 2001
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods