Expected return given uncertain recovery rate and information asymmetry

DOI10.1080/02522667.2005.10699642zbMath1103.91044OpenAlexW2327816637MaRDI QIDQ5696462

Tyrone T. Lin, I-Hsuan Lo

Publication date: 18 October 2005

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.2005.10699642

zbMATH Keywords

financial institution

Mathematics Subject Classification ID

Special types of economic markets (including Cournot, Bertrand) (91B54)

Cites Work

• Risk management in credit risk portfolios with correlated assets.
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