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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

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

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

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

Valuing default swaps under market and credit risk correlation

Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19

Persistent link: https://www.econbiz.de/10001701698

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

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

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

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

Modeling the recovery rate in a reduced form model

Guo, Xin; Jarrow, Robert A.; Zeng, Yan - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 73-97

Persistent link: https://www.econbiz.de/10003818346

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