Analytical solution for expected loss of a collateralized loan : a square-root intensity process negatively correlated with collateral value
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Analytical solution for expected loss of a collateralized loan : a square-root intensity process negatively correlated with collateral value
（IMES discussion paper series, no. 2010-E-10）
Institute for Monetary and Economic Studies, Bank of Japan, 2010
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Bibliography: p. 18-19
