Recovery Process Model
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 15 (2008)
Issue (Month): 3 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Recovery rate; Loan; Inhomogeneous compound Poisson process; Credit risk; BIS;
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- Xin Guo & Robert A. Jarrow & Yan Zeng, 2009. "Modeling The Recovery Rate In A Reduced Form Model," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 73-97.
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- Yuki Itoh, 2009. "Recovery Process Model for Two Companies," Asia-Pacific Financial Markets, Springer, vol. 16(4), pages 287-331, December.
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