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A reinforced urn process modeling of recovery rates and recovery times · Study

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ArticleA reinforced urn process modeling of recovery rates and recovery times

Dan Cheng2018

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Articlegreen2018

A reinforced urn process modeling of recovery rates and recovery times

Dan Cheng · Pasquale Cirillo

22 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

2007The black swan: the impact of the highly improbable 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2006Risk management and financial institutions 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*2004What Do We Know About Loss Given Default?2005Bank loan losses-given-default: A case study 2011Benchmarking regression algorithms for loss given default modeling 1956Uncertainty in Economics and Other Reflections

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2021Joint and survivor annuity valuation with a bivariate reinforced urn process

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Year2018

Typearticle

Published2018-08-29

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations22

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2018.08.014

openalex_workW2736590343

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