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Fair (intra-bank transfer) prices for credits with stochastic recovery

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Author Info
Johannes Leitner ()
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File URL: http://hdl.handle.net/10.1007/s10436-006-0070-y
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Publisher Info
Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 2 (March)
Pages: 243-253
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Handle: RePEc:kap:annfin:v:4:y:2008:i:2:p:243-253

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Web page: http://www.springerlink.com/link.asp?id=112370

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Defaultable term structure; Stochastic recovery; CDS; Intra-bank transfer prices; G12; G22;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July. [Downloadable!] (restricted)
  2. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November. [Downloadable!] (restricted)
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This page was last updated on 2009-12-17.

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