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Analytical solutions for expected and unexpected losses with an additional loan
Yamashita, Satoshi; Yoshiba, Toshinao - 2007
Persistent link: https://www.econbiz.de/10003606900
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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 expected loss and standard deviation of loss with an additional loan
Yamashita, Satoshi; Yoshiba, Toshinao - In: Asia-Pacific financial markets 22 (2015) 2, pp. 113-132
Persistent link: https://www.econbiz.de/10011377519