Analytical solution for expected loss of a collateralized loan : a square-root intensity process negatively correlated with collateral value
Satoshi Yamashita and Toshinao Yoshiba
| Year of publication: |
2010
|
|---|---|
| Authors: | Yamashita, Satoshi ; Yoshiba, Toshinao |
| Publisher: |
Tokyo |
| Subject: | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Kreditsicherung | Collateral | Theorie | Theory |
| Extent: | 19 S. graph. Darst. |
|---|---|
| Series: | IMES discussion paper series. - Tokyo : Inst., ZDB-ID 1480668-X. - Vol. 2010,10 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S.18-19 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003982620