The Pricing puzzle: The default term structure of collateralised loan obligations
Year of publication: |
2002
|
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Authors: | Jobst, Andreas A. |
Institutions: | Center for Financial Studies |
Subject: | Loan securitisation | CLO | structured finance |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2002/14 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; D82 - Asymmetric and Private Information ; F34 - International Lending and Debt Problems ; G13 - Contingent Pricing; Futures Pricing ; G18 - Government Policy and Regulation ; G20 - Financial Institutions and Services. General |
Source: |
-
Loan securitisation: default term structure and asset pricing based on loss prioritisation
Jobst, Andreas A., (2002)
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The Pricing puzzle: The default term structure of collateralised loan obligations
Jobst, Andreas A., (2002)
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Collateralised loan obligations (CLOs): A primer
Jobst, Andreas A., (2002)
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Collateralised loan obligations (CLOs): A primer
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The Basle scuritisation framework explained: The regulatory treatment of asset securitisation
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Macroprudential Solvency Stress Testing of the Insurance Sector
Jobst, Andreas A., (2014)
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