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Keywords: Legal entity
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Journal Articles
Optimal pooling strategies under heterogeneous risk classes
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 271–298.
Published: 03 July 2020
... an option pricing framework for normally distributed claims to analyze the net present value for different pooling strategies and contrast multiple risk pools structured as a single legal entity with the case of multiple legal entities. To achieve the net present value maximizing default probability...
