Default propensity implicit in pulled to par V@R for bonds (Q5040248)
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scientific article; zbMATH DE number 7599541
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Default propensity implicit in pulled to par V@R for bonds |
scientific article; zbMATH DE number 7599541 |
Statements
Default propensity implicit in pulled to par V@R for bonds (English)
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11 October 2022
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value-at-risk
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bonds
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default probability
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recovery given default
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0.8493718
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0.82796985
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0.8231759
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0.8183975
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0.81813854
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0.8180091
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0.81587327
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0.81230193
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