14. In quantifying credit risk there are two frameworks to adopt: (1) default and non-default and (2)

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14. In quantifying credit risk there are two frameworks to adopt: (1)

default and non-default and (2) the risk-adjusted return on capital approach.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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