Recovery Process Model
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References listed on IDEAS
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
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- Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 12(01), pages 22-26, June.
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KeywordsRecovery rate; Loan; Inhomogeneous compound Poisson process; Credit risk; BIS;
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