Yamashita, Satoshi; Yoshiba, Toshinao - In: Quantitative Finance 13 (2013) 12, pp. 1935-1946
In this study, we derive an analytical solution for the expected loss and the higher moment of the discounted loss distribution for a collateralized loan. To ensure non-negative values for the intensity and interest rate, we assume a quadratic Gaussian process for the default intensity and...