Jokivuolle, Esa; Peura, Samu - In: European Financial Management 9 (2003) 3, pp. 299-314
We present a model of risky debt in which collateral value is correlated with the possibility of default. The model is then used to study the expected loss given default, primarily as a function of collateral. The results obtained could prove useful for estimating losses given default in many...