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Analytical solution for expected loss of a collateralized loan : a square-root intensity process negatively correlated with collateral value
Yamashita, Satoshi
;
Yoshiba, Toshinao
-
2010
Persistent link: https://www.econbiz.de/10003982620
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Analytical solution for the loss distribution of a collateralized loan under a quadratic Gaussian default intensity process
Yamashita, Satoshi
;
Yoshiba, Toshinao
-
2011
Persistent link: https://www.econbiz.de/10009377393
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Analytical solutions for the expected loss of a collateralized loan : a square root intensity process negatively correlated with collateral value
Yamashita, Satoshi
;
Yoshiba, Toshinao
- In:
The journal of credit risk : published quarterly by …
9
(
2013
)
2
,
pp. 27-44
Persistent link: https://www.econbiz.de/10009781088
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