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On pricing CDOs with Meixner d...
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1
Collateralized Debt Obligations' valuation using the One Factor Gaussian Copula Model
Buzková, Petra
;
Teplý, Petr
- In:
Prague economic papers : a bimonthly journal of …
21
(
2012
)
1
,
pp. 30-49
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2
Revolving rating analysts and ratings of mortgage-backed and asset-backed securities : evidence from LinkedIn
Jiang, John Xuefeng
;
Wang, Isabel Yanyan
;
Wang, K. Philip
- In:
Management science : journal of the Institute for …
64
(
2018
)
12
,
pp. 5832-5854
Persistent link: https://www.econbiz.de/10011964594
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3
A three-factor valuation model for mortgage-backed securities (MBS)
Kariya, Takeaki
;
Ushiyama, Fumiaki
;
Pliska, Stanley R.
- In:
Managerial finance
37
(
2011
)
11
,
pp. 1068-1087
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4
The breakpoint grid
Levin, Alexander
- In:
The journal of structured finance
14
(
2008
)
3
,
pp. 37-43
Persistent link: https://www.econbiz.de/10003786361
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5
Assessing the credit risk of CDOs backed by structured finance securities : rating analysts' challenges and solutions
Hu, Jian
- In:
The journal of structured finance
13
(
2007/08
)
3
,
pp. 43-59
Persistent link: https://www.econbiz.de/10003862371
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6
A comparative analysis of CDO pricing models under the factor copula framework
Burtschell, Xavier
;
Gregory, Jon
;
Laurent, Jean-Paul
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
4
,
pp. 9-37
Persistent link: https://www.econbiz.de/10003862752
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7
An introduction to pricing correlation products using a pair-wise correlation matrix
Whitehill, Sam
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
1
,
pp. 97-110
Persistent link: https://www.econbiz.de/10003853302
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8
Valuing CDOs of bespoke portfolios with implied multi-factor models
Rosen, Dan
;
Saunders, David M.
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
3
,
pp. 3-36
Persistent link: https://www.econbiz.de/10003903232
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The valuation of correlation-dependent credit derivatives using a structural model
Hull, John
;
Predescu, Mirela
;
White, Alan
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
3
,
pp. 99-132
Persistent link: https://www.econbiz.de/10008696412
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10
Pricing and hedging collateralized loan obligations with implied factor models
Nedeljkovic, Jovan
;
Rosen, Dan
;
Saunders, David M.
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
3
,
pp. 53-97
Persistent link: https://www.econbiz.de/10008696417
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