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Background Documentation
Duan, J.C., W. Miao, 2016
Default Correlations and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics 34, 51-65
Chan-Lau, J.A., J.C., Duan, C, Chuang, W, Sun, 2018
Banking Network and Systemic Risk via Forward‐Looking Partial Default Correlations. Working paper.
CriSIFI White Paper