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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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Empirical evidence on CDO performance
Newman, Daniel; Fabozzi, Frank J.; Lucas, Douglas J.; … - In: The journal of fixed income 18 (2008/09) 2, pp. 32-40
Persistent link: https://www.econbiz.de/10003777612
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The relationship between issuance spreads and credit performance of structured finance securities
Hu, Jian; Cantor, Richard - In: The journal of fixed income 16 (2006) 1, pp. 5-20
Persistent link: https://www.econbiz.de/10003376578
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Integration of structured finance exporsures in the Basel II model : analytical results
Plank, Kilian - In: The journal of fixed income 22 (2012) 2, pp. 7-18
Persistent link: https://www.econbiz.de/10009670728
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Managing rollover risk with capital structure covenants in structured finance vehicles
Das, Sanjiv R.; Kim, Seoyoung - In: The journal of fixed income 26 (2017) 4, pp. 92-112
Persistent link: https://www.econbiz.de/10011684772
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The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A.; Zhu, Haibin - In: The journal of fixed income 18 (2008/09) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10003757568
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Market expectations and default risk premium in credit default swap prices : a study of Argentine default
Zhang, Frank Xiaoling - In: The journal of fixed income 18 (2008/09) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10003757570
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Credit default swap market determinants
Greatrex, Caitlin Ann - In: The journal of fixed income 18 (2008/09) 3, pp. 18-32
Persistent link: https://www.econbiz.de/10003808955
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Volatility transmission among the CDS, equity, and bond markets
Lei Meng; Ap Gwilym, Owain; Varas, Jose - In: The journal of fixed income 18 (2008/09) 3, pp. 33-46
Persistent link: https://www.econbiz.de/10003808961