Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process
Year of publication: |
2011-09
|
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Authors: | Yamashita, Satoshi ; Yoshiba, Toshinao |
Institutions: | Institute for Monetary and Economic Studies, Bank of Japan |
Subject: | default intensity | stochastic recovery | quadratic Gaussian | expected loss | measure change |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 11-E-20 |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure ; G33 - Bankruptcy; Liquidation |
Source: |
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