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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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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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The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008
order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap … asset return correlations are too low to account for the spreads of index tranches and, thus, point to a large correlation … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …
Persistent link: https://www.econbiz.de/10003721579
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Premia for correlated default risk
Azizpour, Shahriar; Giesecke, Kay; Kim, Baeho - In: Journal of economic dynamics & control 35 (2011) 8, pp. 1340-1357
Persistent link: https://www.econbiz.de/10009241405
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Overview of the CDO market
Murphy, Eileen - In: Credit derivatives : the definitive guide, (pp. 157-167). 2004
Persistent link: https://www.econbiz.de/10002798896
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CDS spreads and COVID-19 pandemic
Apergēs, Nikolaos; Danuletiu, Dan; Xu, Bing - In: Journal of international financial markets, … 76 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013412804
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Collateralized debt obligations (CDOs) : eine empirische Analyse der Bonitätsrisikoprämie auf Finanzmärkten
Schiefer, Dirk - 2008
Persistent link: https://www.econbiz.de/10003702053
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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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Assessing the impact of macroeconomic cycles on losses of CDO tranches
Peraita Ezcurra, Olivia - 2009
Persistent link: https://www.econbiz.de/10008666664
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CDO : a modeling prospective
Tapiero, Charles S.; Totouom-Tangho, Daniel - In: Risk and decision analysis 3 (2012) 1/2, pp. 75-88
Persistent link: https://www.econbiz.de/10009655135