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Basel regulatory capital formula revised
Yang, Yimin; Wu, Min - In: International journal of financial engineering 8 (2021) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012655060
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Probability of default and default correlations
Li, Weiping - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-19
We consider a system where the asset values of firms are correlated with the default thresholds. We first evaluate the probability of default of a single firm under the correlated assets assumptions. This extends Merton’s probability of default of a single firm under the independent asset...
Persistent link: https://www.econbiz.de/10011543135
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Optimal put exercise : an empirical examination of conditions for mortgage foreclosure
Ambrose, Brent William; Capone, Charles A. <jun.>; … - In: The journal of real estate finance and economics 23 (2001) 2, pp. 213-234
Persistent link: https://www.econbiz.de/10001614620
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Estimating regulatory capital requirements for reverse mortgages : an international comparison
Fuente, Iván de la; Navarro Arribas, Eliseo; Serna, … - In: International review of economics & finance : IREF 74 (2021), pp. 239-252
Persistent link: https://www.econbiz.de/10012792955
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Proposal for calculating regulatory capital requirements for reverse mortgages
Fuente, Iván de la; Navarro Arribas, Eliseo; Serna, … - In: Socio-economic planning sciences : the international … 88 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014380377
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Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model
Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong Chih - In: Quantitative finance 21 (2021) 9, pp. 1551-1565
Persistent link: https://www.econbiz.de/10012624157
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Strategic loan modification : an options-based response to strategic default
Das, Sanjiv R.; Meadows, Ray - In: Journal of banking & finance 37 (2013) 2, pp. 636-647
Persistent link: https://www.econbiz.de/10009705609
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Collateral pledge, sunk-cost fallacy and mortgage default
Agarwal, Sumit; Green, Richard K.; Rosenblatt, Eric; … - In: Journal of financial intermediation 24 (2015) 4, pp. 636-652
Persistent link: https://www.econbiz.de/10011526286
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A proportional hazards model of commercial mortgage default with originator bias
Ciochetti, Brian A.; Deng, Yongheng; Lee, Gail; … - In: The journal of real estate finance and economics 27 (2003) 1, pp. 5-23
Persistent link: https://www.econbiz.de/10001763275
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Efficient Valuation of Prepayment and Default Risky Securities
Slavinsky, Serge - 2012
pricing technique can efficiently value mortgage cash flows and other similar path-dependent instruments. The combination is …
Persistent link: https://www.econbiz.de/10013102386