An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt
In: Portfolio and risk management for central banks and sovereign wealth funds
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- Schoenmaker, Dirk & Reinders, Henk Jan & Van Dijk, Mathijs, 2020. "Is COVID-19 a threat to financial stability in Europe?," CEPR Discussion Papers 14922, C.E.P.R. Discussion Papers.
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