Recovery process model
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Publication:842837
DOI10.1007/S10690-009-9083-7zbMATH Open1170.91484OpenAlexW2150886586MaRDI QIDQ842837FDOQ842837
Authors: Yuki Itoh 
Publication date: 25 September 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-009-9083-7
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Cites Work
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- Operational Risk
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
- Statistical Tools for Finance and Insurance
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Cited In (7)
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
- Intertemporal forecasts of defaulted bond recoveries and portfolio losses
- Probability density of recovery rate given default of a firm's debt and its constituent tranches
- Computing optimal recovery policies for financial markets
- Recovery process model for two companies
- Recovery rates in investment-grade pools of credit assets: a large deviations analysis
- On the Performance of Recovery Rate Modeling
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