Pricing structured products with economic covariates
Year of publication: |
2020
|
---|---|
Authors: | Choi, Yong Seok ; Doshi, Hitesh ; Jacobs, Kris ; Turnbull, Stuart M. |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 135.2020, 3, p. 754-773
|
Subject: | Collateralized debt obligation | Economic determinants | Risk premiums | Structured product | Tranche pricing | Risikoprämie | Risk premium | Derivat | Derivative | Strukturiertes Produkt | CAPM | Asset-Backed Securities | Asset-backed securities | Theorie | Theory | Kreditsicherung | Collateral | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative |
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