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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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A capability study of portfolio insurance strategies for ABS funds and CDS total return indices during the subprime crisis
Ehlers, Stefan; Gürtler, Marc - In: The journal of fixed income 19 (2009/10) 4, pp. 6-21
Persistent link: https://www.econbiz.de/10003970347
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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
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Event of default provisions and the valuation of ABS CDO tranches
Goodman, Laurie Sharon; Newman, Daniel; Lucas, Douglas J.; … - In: The journal of fixed income 17 (2007) 3, pp. 85-89
Persistent link: https://www.econbiz.de/10003687364
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Introducing the Citi LMM term structur model for mortgages
Karpishpan, Yakov; Turel, Ozgur; Hasha, Alexander - In: The journal of fixed income 20 (2010/11) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003988060