Recovery Process Model for Two Companies
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 16 (2009)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102851
Recovery rate; Credit risk; Loan; Bivariate compound Poisson; Vernic recursion;
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.:
- Partrat, Christian, 1994. "Compound model for two dependent kinds of claim," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 219-231, December.
- Yuki Itoh, 2008. "Recovery Process Model," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 307-347, December.
- 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.
- Itoh, Yuki, 2008. "Recovery Process Model," Discussion Papers 2008-08, Graduate School of Economics, Hitotsubashi University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.