Astic, Fabian; Tourin, Agnès - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450055-1
We propose a framework for analyzing the credit risk of secured loans with maximum loan-to-value covenants. Here, we do not assume that the collateral can be liquidated as soon as the maximum loan-to-value is breached. Closed-form solutions for the expected loss are obtained for nonrevolving...