Post by Sapphire Capital on Jul 11, 2008 7:24:11 GMT 4
A Remark on a Shortcut Way of Pricing Default Risk Through Zero-Utility Principle
JINGYUAN LI
Affiliation Unknown
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Journal of Risk & Insurance, Vol. 75, Issue 2, pp. 517-519, June 2008
Abstract:
This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition
papers.ssrn.com/sol3/papers.cfm?abstract_id=1130013
JINGYUAN LI
Affiliation Unknown
--------------------------------------------------------------------------------
Journal of Risk & Insurance, Vol. 75, Issue 2, pp. 517-519, June 2008
Abstract:
This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition
papers.ssrn.com/sol3/papers.cfm?abstract_id=1130013