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)

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zbMATH Keywords

Cox processrisk-neutral valuationGaussian modelstochastic recovery rate

Mathematics Subject Classification ID

Cites Work

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

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

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