Fair (intra-bank transfer) prices for credits with stochastic recovery

DOI10.1007/S10436-006-0070-YzbMath1233.91300OpenAlexW1999687059MaRDI QIDQ665817

Johannes Leitner

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0070-y

zbMATH Keywords

defaultable term structureCDSstochastic recoveryintra-bank transfer prices

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Non-additive measure and integral
• Axiomatic characterization of insurance prices
• A Note on Credit Insurance
• A Unified Approach to Generate Risk Measures
• Credit risk: Modelling, valuation and hedging

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