PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES
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Publication:5281719
DOI10.1142/S0219024917500236zbMath1396.91787MaRDI QIDQ5281719
Publication date: 26 July 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
stochastic dominancecredit risk modelingstructured securitiesmixed random variablerecovery rate given default
Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)
Related Items (1)
Cites Work
- Modelling repayment patterns in the collections process for unsecured consumer debt: a case study
- Implied recovery
- Pricing credit derivatives under stochastic recovery in a hybrid model
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