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Rating drift, Downward momentum, Credit portfolio risk, Value-at-Risk
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2011-06-24T17:32:41+02:00
2008-06-06T15:32:32+02:00
2011-06-24T17:32:41+02:00
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The impact o fdownward rating momentum on credit portfolio risk
André Güttler
Peter Raupach
Discussion Paper, Series 2: Banking and Financial Studies, No 16/2008
Rating drift
Downward momentum
Credit portfolio risk
Value-at-Risk
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