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Purpose: The study is aimed not only at determining the current state of the bank asset securitization market but also … at developing methods and ways to improve the processes of bank asset securitization in Russia. Design …/methodology/approach: The article presents the results of a survey of Russian market securitization over the last 10 years, where the author …
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This paper argues that first passage time models are likely to better than affine hazard rate models in modelling stressed credit markets and confirms their superior performance in explaining the behavior of Credit Default Swap rates for the major US banking groups over the period of the...
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