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Determination of the adequate capital for default protection under the one-factor Gaussian term structure model

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  • Nakazato, Daisuke

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  • Nakazato, Daisuke, 2000. "Determination of the adequate capital for default protection under the one-factor Gaussian term structure model," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 329-352, January.
  • Handle: RePEc:eee:jbfina:v:24:y:2000:i:1-2:p:329-352
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    1. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Jackson, Patricia & Perraudin, William, 2000. "Regulatory implications of credit risk modelling," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 1-14, January.

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