A Remark on “A Shortcut Way of Pricing Default Risk Through Zero‐Utility Principle”

Jingyuan Li

Journal of Risk & Insurance, 2008, vol. 75, issue 2, 517-519

Abstract: This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition.

Date: 2008
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https://doi.org/10.1111/j.1539-6975.2008.00270.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:75:y:2008:i:2:p:517-519

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