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~person:"Jarrow, Robert A."
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CDO valuation
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Jarrow, Robert A.
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86
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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