Bert F. Smits

University of Antwerp - Department of Accounting & Finance

Faculty of Applied Economics

Prinsstraat 13

Antwerp, B-2000

Belgium

European Union - Directorate General for Competition

Place Madou, Madouplein 1

Saint-Josse-ten-Noode/Sint-Joost-ten-Noode

Brussels, B-1049

Belgium

SCHOLARLY PAPERS

2

DOWNLOADS

468

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

The Relationship between Risk-Neutral and Actual Default Probabilities: The Credit Risk Premium

Number of pages: 19 Posted: 08 Jul 2015 Last Revised: 10 Feb 2017
Joint Research Center of the European Commission, Joint Research Center of the European Commission, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Downloads 383 (99,446)
Citation 2

Abstract:

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Risk-Neutral, Probability of Default (PD), Credit Risk Premium, Real Economic Value (REV), Coverage Ratio

2.

European Banks' Implied Recovery Rates

Number of pages: 30 Posted: 02 Feb 2017 Last Revised: 06 Mar 2017
Joint Research Center of the European Commission, Joint Research Center of the European Commission, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Downloads 85 (369,806)

Abstract:

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Implied recovery rate, Absolute priority rule violation, Debt pricing, Recovery risk, Credit derivatives