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The impact of different default triggers on CMBS risk evaluation

Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91

Persistent link: https://www.econbiz.de/10011700690

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10009627434

Are NPL-backed securities an investment opportunity?

Bolognesi, Enrica; Stucchi, Patrizia; Miani, Stefano - In: The quarterly review of economics and finance : journal … 77 (2020), pp. 327-339

Persistent link: https://www.econbiz.de/10012431119

Climate Risk Measurement of Assets Eligible as Collateral for Refinancing Operations – Focus on Asset Backed Securities (ABS)

Loris, André; Grept, Alice; Laut, Nadia; Plantier, Gabriel - 2023

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the European Central Bank (ECB) refinancing operations. This paper focuses on ABS backed by auto loans or loans granted to Small and Medium Enterprises (SMEs) and explores ways to measure...

Persistent link: https://www.econbiz.de/10014258296