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Can CDO equity be short on correlation?
Aǧca, Şenay; Islam, Saiyid - In: The journal of alternative investments 12 (2009/10) 4, pp. 85-96
Persistent link: https://www.econbiz.de/10003974201
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An introduction to CDO modelling and applications
Bluhm, Christian; Overbeck, Ludger - In: Credit risk models and management, (pp. 419-481). 2004
Persistent link: https://www.econbiz.de/10002433374
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Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
Persistent link: https://www.econbiz.de/10009544686
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Hedging GNMA mortgage-backed securities with T-note futures : dynamic versus static hedging
Koutmos, Gregory; Pericli, Andreas Neophytou - In: Real estate economics : journal of the American Real … 27 (1999) 2, pp. 335-363
Persistent link: https://www.econbiz.de/10001431098
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Understanding the securitization of subprime mortgage credit
Ashcraft, Adam B.; Schuermann, Til - 2008
Persistent link: https://www.econbiz.de/10003743656
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Insurance risk collateralized debt obligations . what? why? now?
Forrester, J. Paul - In: The journal of structured finance 14 (2008) 1, pp. 28-32
Persistent link: https://www.econbiz.de/10003786328
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Factor distributions implied by quoted CDO spreads
Schlögl, Erik; Schlögl, Lutz - In: Frontiers in quantitative finance : volatility and …, (pp. 217-234). 2009
Persistent link: https://www.econbiz.de/10003787605
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Understanding the securitization of subprime mortgage credit
Ashcraft, Adam B. (contributor); Schuermann, Til (contributor) - 2008
In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. We discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down. We continue with a complete...
Persistent link: https://www.econbiz.de/10003781458
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US developments in synthetic securitization : rampant growth and the spectre of SEC regulation
Clark, Ellen H. - In: Expansion and diversification of securitization : yearbook (2007), pp. 25-40
Persistent link: https://www.econbiz.de/10003836499