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Recovery Process Model

Author

Listed:
  • Itoh, Yuki
  • 伊藤, 有希

Abstract

No abstract is available for this item.

Suggested Citation

  • Itoh, Yuki & 伊藤, 有希, 2008. "Recovery Process Model," Discussion Papers 2008-08, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2008-08
    Note: November 17, 2008
    as

    Download full text from publisher

    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16917/070econDP08-08.pdf
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    Citations

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    Cited by:

    1. Yuki Itoh, 2009. "Recovery Process Model for Two Companies," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 287-331, December.

    More about this item

    Keywords

    Recovery rate; Credit risk; Basel; inhomogeneous compound Poisson process; Loan;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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