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Pricing of Corporate Loan : Credit Risk and Liquidity cost

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Academic year: 2021

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Figure

Figure 1: IAS 39 Algorithm of Fair Value
Figure 3: ZC bond over one period with two terminal scenarii: No default and Default
Figure 4: According to the Merton model, the value of the firm V is split up into debt D and equity E
Figure 5: Different cash flows occurred between the buyer and the seller according to the reference entity default and the type of settlement (physical or cash).
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