Merton's model with recovery risk
Year of publication: |
2022
|
---|---|
Authors: | Cohen, Albert ; Costanzino, Nick |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 18.2022, 2, p. 93-118
|
Subject: | recovery risk premium | stochastic recovery | probability of default-loss given default (PD-LGD) correlation | credit risk | information asymmetry | Theorie | Theory | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process | Insolvenz | Insolvency | Asymmetrische Information | Asymmetric information |
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