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Recovery Process Model

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Author Info
Yuki Itoh ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-009-9083-7
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 15 (2008)
Issue (Month): 3 (December)
Pages: 307-347
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Handle: RePEc:kap:apfinm:v:15:y:2008:i:3:p:307-347

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Web page: http://springerlink.metapress.com/link.asp?id=102851

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

Related research
Keywords: Recovery rate; Loan; Inhomogeneous compound Poisson process; Credit risk; BIS;

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. Wu, Rong & Wang, Guojing & Zhang, Chunsheng, 2005. "On a joint distribution for the risk process with constant interest force," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 365-374, June. [Downloadable!] (restricted)
  2. Esa Jokivuolle & Samu Peura, 2003. "Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios," European Financial Management, Blackwell Publishing Ltd, vol. 9(3), pages 299-314. [Downloadable!] (restricted)
  3. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May. [Downloadable!] (restricted)
    Other versions:
  4. Dermine, J. & de Carvalho, C. Neto, 2006. "Bank loan losses-given-default: A case study," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1219-1243, April. [Downloadable!] (restricted)
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This page was last updated on 2009-12-31.

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