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Business and default cycles for credit risk (replication data)
Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether these cycles coincide.... -
Semiparametric Value-At-Risk Estimation of Portfolios
This MATLAB-code reproduces the results of Xu, Jiahua (2019). Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking &...
