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CMBS market efficiency : the crisis and the recovery

Christopoulos, Andreas D.; Jarrow, Robert A. - In: Journal of financial stability 36 (2018), pp. 159-186

Persistent link: https://www.econbiz.de/10012156900

Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools

Diener, Nicolas; Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10009624528

Active portfolio management and positive alphas : fact or fantasy?

Jarrow, Robert A. - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 17-22

Persistent link: https://www.econbiz.de/10008652184

CDO valuation : fact and fiction

Jarrow, Robert A.; Li, Li; Mesler, Mark; Deventer, … - In: The definitive guide to CDOs : market, application, …, (pp. 429-456). 2008

Persistent link: https://www.econbiz.de/10003918809

The role of ABSs, CDSs, and CDOs in the credit crisis and the economy

Jarrow, Robert A. - In: Rethinking the financial crisis, (pp. 210-234). 2012

Persistent link: https://www.econbiz.de/10009740997

Commercial mortgage-backed securities (CMBS) and market efficiency with respect to costly information

Christopoulos, Andreas D.; Jarrow, Robert A.; Yildirim, … - In: Real estate economics : journal of the American Real … 36 (2008) 3, pp. 441-498

Persistent link: https://www.econbiz.de/10003764885

A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital

Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 237-255

Persistent link: https://www.econbiz.de/10014320229

Relating Top Down with Bottom Up Approaches in the Evaluation of ABS with Large Collateral Pools

Jarrow, Robert A. - 2011

This paper provides asymptotic valuation formulas for credit derivatives on baskets, including synthetic and cash flow CDOs. As such, it provides the link between the "bottom up" and "top down" approaches used for the pricing of these credit risky securities

Persistent link: https://www.econbiz.de/10013133640

Inflation-Adjusted Bonds, Swaps and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2023

and inflation risk premium. A literature investigating the efficiency of the inflation derivative markets and a comparison …

Persistent link: https://www.econbiz.de/10014355578

Inflation-adjusted bonds, swaps, and derivatives

Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471

Persistent link: https://www.econbiz.de/10014426345