An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt
Michael Jacobs
| Year of publication: |
2011
|
|---|---|
| Authors: | Jacobs, Michael <Jr.> |
| Published in: |
Portfolio and risk management for central banks and sovereign wealth funds : proceedings of a joint conference organised by the BIS, the ECB and the World Bank in Basel, 2 - 3 November 2010, Banking. - Basel : Bank for International Settlements, ISBN 92-9131-888-4. - 2011, p. 257-285
|
| Subject: | Insolvenz | Insolvency | Risiko | Risk | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Öffentliche Schulden | Public debt |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009405173