Modeling loss given default with stochastic collateral
Robert Frontczak; Stefan Rostek
| Year of publication: |
2015
|
|---|---|
| Authors: | Frontczak, Robert ; Rostek, Stefan |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 44.2015, p. 162-170
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| Subject: | Loss given default | Recovery rates | Mortgage-backed loans | Exponential Ornstein-Uhlenbeck process | Housing market model | Closed-form solution | Kreditrisiko | Credit risk | Theorie | Theory | Stochastischer Prozess | Stochastic process | Hypothek | Mortgage | Kreditsicherung | Collateral | Insolvenz | Insolvency | Basler Akkord | Basel Accord | Kreditgeschäft | Bank lending | Verlust | Loss |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011326261