Default propensity implicit in pulled to par V@R for bonds
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Publication:5040248
DOI10.7151/dmps.1196OpenAlexW2781770309WikidataQ58389554 ScholiaQ58389554MaRDI QIDQ5040248
João B. Sousa, Raquel M. Gaspar, Manuel L. Esquível
Publication date: 11 October 2022
Published in: Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.7151/dmps.1196
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)