How Well Does the Vasicek-Basel AIRB Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data

Paul H. Kupiec

doi:s://www.fdic.gov/

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How Well Does the Vasicek-Basel AIRB Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data

11/21/2009
By Paul H. Kupiec
Series: Center for Financial Research Working Paper
Research Publications

[PDF-522.67 KB]

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Alternative Title:

No. 2009-10
Publisher's site:

https://www.fdic.gov/
Personal Author:

Paul H. Kupiec
Corporate Authors:

Federal Deposit Insurance Corporation (FDIC)
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63
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Center for Financial Research Working Paper
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https://www.fdic.gov/analysis/cfr/working-papers/2009/2009-10.pdf
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PDF
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urn:sha256:663ef9a7865ea6a7fbd7ce1aef8cf873c8d2d8a2d2f210488dc01762a6b5ef6a
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https://archive.fdic.gov/view/fdic/11989/fdic_11989_DS1.pdf
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How Well Does the Vasicek-Basel AIRB Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data

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