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Implications of stochastic recovery rates in evaluating CDO tranches
Garcia, Tania; Maghakian, Arthur; Sharma, Sanjay - In: The journal of fixed income 14 (2004) 3, pp. 64-71
Persistent link: https://www.econbiz.de/10002682770
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Impact of multiple CDO ratings on credit spreads
Morkoetter, Stefan; Westerfeld, Simone - In: The journal of fixed income 19 (2009/10) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10003875980
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Observed leniency among the credit rating agencies
Parnes, Dror - In: The journal of fixed income 28 (2018) 1, pp. 48-60
Persistent link: https://www.econbiz.de/10011905578
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Do investors still rely on credit rating agencies? : evidence from the financial crisis
Kiesel, Florian - In: The journal of fixed income 25 (2016) 4, pp. 20-31
Persistent link: https://www.econbiz.de/10011660733
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On pricing CDOs with Meixner distributions
Nimmanunta, Kridsda; Chiarawongse, Anant; Tirapat, Sunti - In: The journal of fixed income 18 (2008/09) 1, pp. 86-99
Persistent link: https://www.econbiz.de/10003757719
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An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - In: The journal of fixed income 18 (2008/09) 2, pp. 41-56
Persistent link: https://www.econbiz.de/10003777616
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Measuring final loss severity of defaulted RMBS
Hu, Jian - In: The journal of fixed income 14 (2004) 3, pp. 82-91
Persistent link: https://www.econbiz.de/10002682816
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An empirical investigation of MBS liquidity risk
Kim, Jinyong - In: The journal of fixed income 18 (2008/09) 4, pp. 39-46
Persistent link: https://www.econbiz.de/10003848035
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Valuation of residential mortgage-backed securities with proportional hazard model : cumulant expansion approach to pricing RMBS
Ozeki, Takaaki; Umezawa, Yuji; Yamazaki, Akira; … - In: The journal of fixed income 18 (2008/09) 4, pp. 62-77
Persistent link: https://www.econbiz.de/10003848043
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Volatility skew and the valuation of mortgages
Bhattacharjee, Ranjit; Badak, Bransislav; Russell, Robert A. - In: The journal of fixed income 16 (2006) 3, pp. 39-53
Persistent link: https://www.econbiz.de/10003422025