A general framework for incorporating stochastic recovery in structural models of credit risk
Year of publication: |
December 2017
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Authors: | Cohen, Albert ; Costanzino, Nick |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 5.2017, 4, p. 1-19
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Subject: | stochastic recovery | partial information | credit risk | jump-to-default | Theorie | Theory | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks5040065 [DOI] hdl:10419/195793 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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