On Models of Stochastic Recovery for Base Correlation
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- Li, Hui, 2010. "Downturn LGD: A Spot Recovery Approach," MPRA Paper 71986, University Library of Munich, Germany, revised 30 Apr 2013.
- Li, Hui, 2009. "Extension of Spot Recovery Model for Gaussian Copula," MPRA Paper 17944, University Library of Munich, Germany.
- Li, Hui, 2009. "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper 19684, University Library of Munich, Germany.
- repec:wsi:ijtafx:v:16:y:2013:i:03:n:s0219024913500131 is not listed on IDEAS
- Li, Hui, 2010. "Downturn LGD: A Spot Recovery Approach," MPRA Paper 20010, University Library of Munich, Germany.
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KeywordsCDO; Gaussian Copula; Base Correlation; Stochastic Recovery; Correlated Loss Given Default;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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