Recovery process model for two companies

DOI10.1007/S10690-009-9097-1zbMATH Open1177.91137OpenAlexW2028418896MaRDI QIDQ1044237FDOQ1044237

Authors: Yuki Itoh 

Publication date: 11 December 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9097-1

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zbMATH Keywords

credit riskrecovery rateloanbivariate compound PoissonVernic recursion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Stochastic models in economics (91B70)

Cites Work

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• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Multivariate Counting Processes: Copulas and Beyond
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• Non-life insurance mathematics. An introduction with stochastic processes.
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• Parameter estimation of a bivariate compound Poisson process
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• Statistical Tools for Finance and Insurance
• Recovery process model
• Compound model for two dependent kinds of claim

Cited In (3)

• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Recovery process model
• Computing optimal recovery policies for financial markets

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