Analytical solutions for the expected loss of a collateralized loan : a square root intensity process negatively correlated with collateral value
Satoshi Yamashita; Toshinao Yoshiba
Year of publication: |
2013
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Authors: | Yamashita, Satoshi ; Yoshiba, Toshinao |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Incisive Media, ISSN 1744-6619, ZDB-ID 21704223. - Vol. 9.2013, 2, p. 27-44
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Saved in:
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