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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