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Insolvency
CDO pricing
17
Kreditrisiko
5
Theorie
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Theory
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Credit risk
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Multivariate Verteilung
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Multivariate distribution
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Banks
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Collateralized debt obligations (CDO)
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Convex optimization
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Derivat
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arbitrage CDOs
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bond representation
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credit rating
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expected loss profile
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systematic risk of CDO tranches
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90 (Operations Research
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90 (Operations Research, Mathematical Programming)
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Bansal, Matulya
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Mai, Jan-Frederik
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Schenk, Steffen
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Applied mathematical finance
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The journal of credit risk : published quarterly by Incisive Media
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Default risk of money-market fund portfolios
Bansal, Matulya
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
4
,
pp. 43-71
Persistent link: https://www.econbiz.de/10011442549
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2
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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