Browsing Faculty of Science & Technology (FST) by Subject "Recovery rates"
Now showing items 1-1 of 1
-
Stochastic modelling of the default rates and recovery rates of a bank loan
(School of mathematics, 2011-10)In this project, the assumption of risk neutral will be applied to estimate jointly the default probabilities and recovery rate of a bank loan. This is achieved by putting into consideration the practical differences ...