Analytical solution for the loss distribution of a collateralized loan under a quadratic Gaussian default intensity process
Satoshi Yamashita and Toshinao Yoshiba
| Year of publication: |
[2011]
|
|---|---|
| Authors: | Yamashita, Satoshi ; Yoshiba, Toshinao |
| Institutions: | Nihon Ginkō / Kinʼyū Kenkyūjo (contributor) |
| Publisher: |
Tokyo : Institute for Monetary and Economic Studies, Bank of Japan |
| Subject: | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Kreditsicherung | Collateral | Theorie | Theory |
| Extent: | 20 S. graph. Darst. 30 cm |
|---|---|
| Series: | IMES discussion paper series. - Tokyo : Inst., ZDB-ID 1480668-X. - Vol. 2011,20 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S.19-20 Also available online. |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009377393