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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215
Persistent link: https://www.econbiz.de/10003839259
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Securitization : the tool of financial transformation
Fabozzi, Frank J.; Kothari, Vijay S. - In: Journal / The Capco Institute : journal of financial … 20 (2007), pp. 33-45
Persistent link: https://www.econbiz.de/10003546627
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Collateralized debt obligations and credit risk transfer
Lucas, Douglas J.; Goodman, Laurie Sharon; Fabozzi, Frank J. - In: Journal / The Capco Institute : journal of financial … 20 (2007), pp. 47-59
Persistent link: https://www.econbiz.de/10003546640
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Testing for statistical arbitrage in credit derivatives markets
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: Journal of empirical finance 26 (2014), pp. 59-75
Persistent link: https://www.econbiz.de/10010472006
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Futures contract collateralization and its implications
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Journal of empirical finance 74 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014477096