Derivation of a stochastic loan repayment model for valuing a revenue-based loan contract
Year of publication: |
September 2017
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Authors: | Mazengera, Hassan |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 12.2017, 3, p. 1-29
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Subject: | Stochastic loan repayment | risk-neutral valuation | loan loss reserve | stochastic differential equation | revenue-based lending | default | Kreditrisiko | Credit risk | Kredittilgung | Loan repayment | Stochastischer Prozess | Stochastic process | Kredit | Credit | Kreditgeschäft | Bank lending | Optionspreistheorie | Option pricing theory | Insolvenz | Insolvency | Derivat | Derivative |
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