On the term structure of lending interest rates when a fraction of collateral is recovered upon default
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Publication:1880944
DOI10.1007/BF03167431zbMath1104.91037MaRDI QIDQ1880944
Publication date: 27 September 2004
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Related Items (2)
An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk ⋮ A collateralized loan’s loss under a quadratic Gaussian default intensity process
Cites Work
- Credit events and the valuation of credit derivatives of basket type
- Valuation of a credit swap of the basket type
- On Cox processes and credit risky securities
- Pricing the risks of default
- Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Credit risk: Modelling, valuation and hedging
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