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Search: subject:"Extendible Put and Extension Premium Embedded in Once-Extendible Commitments"
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Capital Charge for the Credit-Risk Exposure of Extendible Commitments
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Cost of Borrower's Rating Downgrade Based on a Credit-Rating Migration Matrix
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Credit rating
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Credit risk
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Extendible Put and Extension Premium Embedded in Once-Extendible Commitments
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Kreditrisiko
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Kreditwürdigkeit
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Risikoprämie
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Chateau, Jean-Pierre D.
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Journal of mathematical finance
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Pricing the credit-risk put embedded in borrowers' extendible credit commitments, with its application to Basel-3 micro-prudential regulation
Chateau, Jean-Pierre D.
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 747-769
Persistent link: https://www.econbiz.de/10011657612
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