Credit enhancement and loan default risk premiums

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31331

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31331

Title:	Credit enhancement and loan default risk premiums
Authors:	Chang,CC;Lai,VS;Yu,MT
Contributors:	財務金融研究所
Keywords:	DISCRETE-TIME MODELS;INTEREST-RATES;ABSOLUTE PRIORITY;CONTINGENT-CLAIMS;TERM STRUCTURE;FINANCIAL GUARANTEES;DEPOSIT INSURANCE;INSURED DEPOSITS;MUNICIPAL BONDS;DEBT
Date:	2002
Issue Date:	2010-07-06 17:42:26 (UTC+8)
Publisher:	中央大學
Abstract:	Using contingent claims analysis, we study the impact of private guarantees on the default risk premiums or credit spreads of discount loans. Specifically, we analyze the reduction of the default risk premium on a new junior loan by obtaining the numerica
Relation:	CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES-REVUE CANADIENNE DES SCIENCES DE L ADMINISTRATION
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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