Recovery process model for two companies

DOI10.1007/S10690-009-9097-1MaRDI QIDQ1044237zbMATH OpenOpenAlexFDO

Authors Yuki Itoh

Publication date 11 December 2009

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-009-9097-1

zbMATH Keywords

credit riskrecovery rateloanbivariate compound PoissonVernic recursion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Stochastic models in economics (91B70)

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Cites work

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• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Compound model for two dependent kinds of claim
• Multivariate Counting Processes: Copulas and Beyond
• Non-life insurance mathematics. An introduction with stochastic processes.
• Parameter estimation of a bivariate compound Poisson process
• Recovery process model
• Statistical Tools for Finance and Insurance

Cited in

(3)

• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Recovery process model
• Computing optimal recovery policies for financial markets

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