On the term structure of lending interest rates when a fraction of collateral is recovered upon default (Q1880944)
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scientific article; zbMATH DE number 2103573
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| English | On the term structure of lending interest rates when a fraction of collateral is recovered upon default |
scientific article; zbMATH DE number 2103573 |
Statements
On the term structure of lending interest rates when a fraction of collateral is recovered upon default (English)
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27 September 2004
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risk-neutral valuation
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Cox process
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stochastic recovery rate
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Gaussian model
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0.6988837718963623
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0.6959026455879211
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0.6940620541572571
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0.6899558305740356
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0.6870124340057373
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