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Purpose – The purpose of this paper is to analyse the effects of the maturities of credit-enhanced debt contracts on the value of an insurer's loan-guarantee portfolios. Design/methodology/approach – The paper proposes a contingent-claims model and uses as measure of credit insurance risk,...
Persistent link: https://www.econbiz.de/10005002428
Purpose – The purpose of this paper is to analyse the effects of the maturities of credit‐enhanced debt contracts on the value of an insurer's loan‐guarantee portfolios. Design/methodology/approach – The paper proposes a contingent‐claims model and uses as measure of credit insurance...
Persistent link: https://www.econbiz.de/10014901391