Analytical solution for the loss distribution of a collateralized loan under a quadratic Gaussian default intensity process

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Analytical solution for the loss distribution of a collateralized loan under a quadratic Gaussian default intensity process

Satoshi Yamashita and Toshinao Yoshiba

(IMES discussion paper series, no. 2011-E-20)

Institute for Monetary and Economic Studies, Bank of Japan, 2011

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IMES

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Bibliography: p. 19-20

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