A collateralized loan’s loss under a quadratic Gaussian default intensity process
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Publication:5400664
DOI10.1080/14697688.2012.762459zbMath1282.91364MaRDI QIDQ5400664
Satoshi Yamashita, Toshinao Yoshiba
Publication date: 4 March 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.762459
stochastic processes; Gaussian processes; credit risk; continuous-time models; correlation structures; debt valuation
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