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Synthetische Collateralized Debt Obligations : Bewertung und Kreditrisikomessung mit Unternehmenswertmodellorientierung
Jortzik, Stephan - 2006
Persistent link: https://www.econbiz.de/10003373872
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Pricing distressed CDOs with stochastic recovery
Höcht, Stephan; Zagst, Rudi - In: Review of derivatives research 13 (2010) 3, pp. 219-244
Persistent link: https://www.econbiz.de/10008695890
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Mortgage-backed securities in a strategic asset allocation framework
Brennan, Myles; Kobor, Adam - In: Interest rate models, asset allocation and quantitative …, (pp. 225-248). 2010
Persistent link: https://www.econbiz.de/10008746609
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Fast Gamma computations for CDO tranches
Joshi, Mark S.; Chao Yang - 2010
Persistent link: https://www.econbiz.de/10008806581
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Mortgage-backed securities in a strategic asset allocation framework
Brennan, Myles; Kobor, Adam - In: Interest rate models, asset allocation and quantitative …, (pp. 225-248). 2010
Persistent link: https://www.econbiz.de/10003940944
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An analytical approach for systematic risk sensitivity of structured finance products
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel - In: Review of derivatives research 17 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010519296
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Debt collateralization and maximal leverage
Gong, Feixue; Phelan, Gregory - 2015
Persistent link: https://www.econbiz.de/10011333092
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Credit securitization and credit derivatives : financial instruments and the credit risk management of middle market commercial loan portfolios
Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd - 1998
Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We address the subportfolio "middle market". Due to their specific lending policy for this market segment it is an important task for banks to systematically identify regional and...
Persistent link: https://www.econbiz.de/10009768847
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Optimal incentives and securitization of defaultable assets
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - In: Journal of financial economics 107 (2013) 1, pp. 111-135
Persistent link: https://www.econbiz.de/10009715167
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Default risk of money-market fund portfolios
Bansal, Matulya - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 43-71
Persistent link: https://www.econbiz.de/10011442549