Analytical solution for the loss distribution of a collateralized loan under a quadratic Gaussian default intensity process

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Bibliographic Information

Title
"Analytical solution for the loss distribution of a collateralized loan under a quadratic Gaussian default intensity process"
Statement of Responsibility
Satoshi Yamashita and Toshinao Yoshiba
Publisher
  • Institute for Monetary and Economic Studies, Bank of Japan
Publication Year
  • 2011
Book size
30 cm
Other Title
  • IMES

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Notes

Cover title

Bibliography: p. 19-20

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