On the term structure of lending interest rates when a fraction of collateral is recovered upon default

DOI10.1007/BF03167431zbMATH Open1104.91037MaRDI QIDQ1880944FDOQ1880944

Authors Masaaki Kijima, Yusuke Miyake

Publication date 27 September 2004

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Cox processrisk-neutral valuationGaussian modelstochastic recovery rate

Mathematics Subject Classification ID

Recommendations

• The pricing of credit risky securities under stochastic interest rate model with default correlation.
• Stock loan valuation under a stochastic interest rate model
• Collateralized Borrowing and Default Risk
• Interest rate term structure modelling
• On the term structure of interest rates and the risk of default: an analytical approach

Cites work

• An equilibrium characterization of the term structure
• Credit events and the valuation of credit derivatives of basket type
• Credit risk: Modelling, valuation and hedging
• Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
• On Cox processes and credit risky securities
• Pricing interest-rate-derivative securities
• Pricing the risks of default
• Valuation of a credit swap of the basket type

Cited in

(3)

• An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
• Structural recovery of face value at default
• A collateralized loan's loss under a quadratic Gaussian default intensity process

This page was built for publication: On the term structure of lending interest rates when a fraction of collateral is recovered upon default

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1880944)