Recovery Process Model

Yuki Itoh and 有希 伊藤

No 2008-08, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Recovery rate; Credit risk; Basel; inhomogeneous compound Poisson process; Loan (search for similar items in EconPapers)
JEL-codes: C61 C63 G10 G21 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2008-11
New Economics Papers: this item is included in nep-ban and nep-rmg
Note: November 17, 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2008-08

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