Similar Search Results

Market of CDO structured products in terms of world financial crisis

Buszko, Michal - In: Acta Universitatis Nicolai Copernici, Ekonomia 41 (2010), pp. 141-158

Collateralized debt obligations (CDO) are new, innovative products available to institutional investors on the global … financial markets. Their development is strictly related to the subprime loans expansion. In the recent years CDO have become a … financial tool of transferring worldwide a risk of American mortgage loan market. In fact, due to CDO such transfer was enormous …

Persistent link: https://www.econbiz.de/10010875586

Securitisation in France

O. BIROUK.; L. CASSAN. - In: Quarterly selection of articles - Bulletin de la Banque … (2012) 28, pp. 65-86

The financial crisis prompted closer supervision of securitisation as a mechanism for refinancing the economy. In France the principal underlying assets of securitisations are bank loans and credits to resident households and non-financial companies.

Persistent link: https://www.econbiz.de/10010635612

Recovering portfolio default intensities implied by CDO quotes

Cont, Rama; Minca, Andreea - HAL - 2013

: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for … the portfolio underlying the CDO which matches these observations, by looking for the risk neutral loss process 'closest …

Persistent link: https://www.econbiz.de/10010631315

The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations

Coppens, François; González, Fernando; Winkler, Gerhard - 2007

The aims of this paper are twofold: first, we attempt to express the threshold of a single "A" rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and Moody’s publicly available rating histories to...

Persistent link: https://www.econbiz.de/10011638970

The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations

Coppens, François; Gonzáles, Fernando; Winkler, Gerhard - 2007

The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and Moody’s publicly available rating histories to...

Persistent link: https://www.econbiz.de/10011617381

A hypothesis test for the long-term calibration in rating systems with overlapping time windows

Kurth, Patrick; Nendel, Max; Streicher, Jan - In: Risks : open access journal 12 (2024) 8, pp. 1-28

We present a statistical test for the long-term calibration in rating systems that can deal with overlapping time windows as required by the guidelines of the European Banking Authority (EBA), which apply to major financial institutions in the European System. In accordance with regulation,...

Persistent link: https://www.econbiz.de/10015065887