Probability density of recovery rate given default of a firm's debt and its constituent tranches (Q5281719)
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scientific article; zbMATH DE number 6752338
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| default for all languages | No label defined |
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| English | Probability density of recovery rate given default of a firm's debt and its constituent tranches |
scientific article; zbMATH DE number 6752338 |
Statements
PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES (English)
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26 July 2017
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recovery rate given default
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structured securities
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credit risk modeling
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mixed random variable
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stochastic dominance
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0.7606430649757385
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0.7413619756698608
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0.7400640845298767
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0.7281821370124817
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