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Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity
Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor);  … - 2011
presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this … financial crisis world. Contains information regarding various aspects of the credit derivative market as well as cutting edge … presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this …
Persistent link: https://www.econbiz.de/10008903488
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Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity
Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor);  … - 2011
pt. 1. Expert views -- pt. 2. Credit derivatives : methods -- pt. 3. Credit derivatives : products -- pt. 4. Counterparty risk pricing and credit valuation adjustment -- pt. 5. Equity to credit -- pt. 6. Miscellanea : liquidity, ratings, risk contributions, and simulation.
Persistent link: https://www.econbiz.de/10013331595
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Assessing Risk on Subprime Mortgage Backed Securities : Did Credit Rating Agencies Misrepresent Risk to Investors?
Barnett, Harold C. - 2011
The Securities and Exchange Commission (SEC) has asked whether credit rating agencies (CRA) committed fraud by misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the detriment of investors, the CRA did not incorporate information...
Persistent link: https://www.econbiz.de/10013121890
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Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
Skoglund, Jimmy; Chen, Wei - In: The journal of risk model validation 11 (2017) 1, pp. 21-47
Persistent link: https://www.econbiz.de/10011671176
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Crises and Uncertainty in the Economy
Ben Ameur, Hachmi (ed.); Ftiti, Zied (ed.);  … - 2022
Volatility Spillover In Time Of Crisis: Evidence From A Smooth Transition Regression Application -- 5. Bank Lending … Environment On Living Standards In Times Of Crisis And Uncertainty -- 7. What Can We Learn From Statistical Regularities In Stock …. Financial performance during the COVID-19 crisis: The role of investment and revenue -- 10. U.S Stock Market And …
Persistent link: https://www.econbiz.de/10013503483
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Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis
Kaplanski, Guy; Levy, Haim - In: The European journal of finance 21 (2015) 1/3, pp. 215-241
Persistent link: https://www.econbiz.de/10010519956
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Risikomanagement und kapitalmarktorientierte Finanzierung : Festschrift zum 65. Geburtstag von Bernd Rudolph
Schäfer, Klaus (ed.); Rudolph, Bernd (honouree);  … - 2009
Persistent link: https://www.econbiz.de/10003836147
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On the closure of the Argentine fully funded system
Ferro, Gustavo; Castagnolo, Fernando - In: Pensions : an international journal 15 (2010) 1, pp. 25-37
Persistent link: https://www.econbiz.de/10008702330
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Liquidity risk : measurement and control
Blahová, Naďa - In: European financial and accounting journal : EFAJ 7 (2012) 1, pp. 41-61
The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance …
Persistent link: https://www.econbiz.de/10011460084