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Recovery Process Model for Two Companies

  • Yuki Itoh

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    File URL: http://hdl.handle.net/10.1007/s10690-009-9097-1
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    Article provided by Springer & Japanese Association of Financial Economics and Engineering in its journal Asia-Pacific Financial Markets.

    Volume (Year): 16 (2009)
    Issue (Month): 4 (December)
    Pages: 287-331

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    Handle: RePEc:kap:apfinm:v:16:y:2009:i:4:p:287-331
    DOI: 10.1007/s10690-009-9097-1
    Contact details of provider: Web page: http://www.springer.com

    Web page: http://www.jafee.gr.jp/

    Order Information: Web: http://www.springer.com/finance/journal/10690/PS2

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    1. Itoh, Yuki, 2008. "Recovery Process Model," Discussion Papers 2008-08, Graduate School of Economics, Hitotsubashi University.
    2. Yuki Itoh, 2008. "Recovery Process Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 307-347, December.
    3. 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.
    4. Vernic, Raluca, 1999. "Recursive Evaluation of Some Bivariate Compound Distributions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 29(02), pages 315-325, November.
    5. Sundt, Bjørn, 2000. "On Multivariate Vernic Recursions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 30(01), pages 111-122, May.
    6. 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.
    7. Lindskog, Filip & McNeil, Alexander J., 2003. "Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 209-238, November.
    8. Partrat, Christian, 1994. "Compound model for two dependent kinds of claim," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 219-231, December.
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