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A Remark on “A Shortcut Way of Pricing Default Risk Through Zero‐Utility Principle”
Author(s) -
Li Jingyuan
Publication year - 2008
Publication title -
journal of risk and insurance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.055
H-Index - 63
eISSN - 1539-6975
pISSN - 0022-4367
DOI - 10.1111/j.1539-6975.2008.00270.x
Subject(s) - zero (linguistics) , economics , default risk , microeconomics , mathematical economics , actuarial science , credit risk , philosophy , linguistics
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.