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

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  • Johannes Leitner

Abstract

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Suggested Citation

  • Johannes Leitner, 2008. "Fair (intra-bank transfer) prices for credits with stochastic recovery," Annals of Finance, Springer, vol. 4(2), pages 243-253, March.
    • Handle: RePEc:kap:annfin:v:4:y:2008:i:2:p:243-253
    DOI: 10.1007/s10436-006-0070-y
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    References listed on IDEAS

    as
    1. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
    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.
    3. 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.
    4. Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe, 2003. "A Unified Approach to Generate Risk Measures," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 173-191, November.
    5. Leitner, Johannes, 2006. "A Note on Credit Insurance," ASTIN Bulletin, Cambridge University Press, vol. 36(2), pages 347-360, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Defaultable term structure; Stochastic recovery; CDS; Intra-bank transfer prices; G12; G22;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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