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Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas; Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
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CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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Factor copula model for portfolio credit risk
Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
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Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong; Huang, Wen-Li - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
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Behavioral value adjustements
Bissiri, Matteo; Cogo, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-37
Persistent link: https://www.econbiz.de/10011787404
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Rise and fall of synthetic CDO market : lessons learned
Jabłecki, Juliusz - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-28
Persistent link: https://www.econbiz.de/10011787469
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Exact pricing asymptotics of investment-grade tranches of synthetic CDO's : a large homogeneous pool
Sowers, R. B. - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 367-401
Persistent link: https://www.econbiz.de/10008904367
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Pricing credit risk of asset-backed securitization bonds in Singapore
Sing, Tien-foo; Ong, Seow-eng; Fan, Gang-Zhi; Lim, Kian-Guan - In: International journal of theoretical and applied finance 8 (2005) 3, pp. 321-338
Persistent link: https://www.econbiz.de/10002893277
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Special issue on credit correlation : life after Copulas
Lipton, Alexander (contributor) - In: International journal of theoretical and applied finance Vol. 10, no. 4 (2007)
Persistent link: https://www.econbiz.de/10004924837
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A dynamic approach to the modeling of correlation credit derivatives using Markov chains
Di Graziano, Giuseppe; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10003847557