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1
Copula dynamics in CDOs
Choros-Tomczyk, Barbara
;
Härdle, Wolfgang
;
Overbeck, Ludger
-
2012
conditions. Therefore, a
correlation
implied from tranches can be seen as a measure of the general health of the credit market …
Persistent link: https://www.econbiz.de/10009531437
Saved in:
2
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
-
2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
Saved in:
3
Implied correlations of iTraxx tranches during the financial crisis
Heidorn, Thomas
;
Kahlert, Dennis
-
2010
implied base correlations of iTraxx tranches. -- Implied
Correlation
; Asset
Correlation
; Systematic Credit Risk ; Market …
Persistent link: https://www.econbiz.de/10003981941
Saved in:
4
CDO surfaces dynamics
Choros-Tomczyk, Barbara
;
Härdle, Wolfgang
;
Okhrin, Ostap
-
2013
correlation
surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …
Persistent link: https://www.econbiz.de/10009763975
Saved in:
5
Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian
;
Koziol, Philipp
;
Schön, Thomas
-
2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
Saved in:
6
Quantitative assessment of securitisation deals
Campolongo, Francesca
;
Jönsson, Henrik
;
Schoutens, Wim
-
2012
Persistent link: https://www.econbiz.de/10009623223
Saved in:
7
Risks of leveraged products
Di Cesare, Antonio
-
2012
instruments. value-at-risk ; leverage ; hedge funds ; serial
correlation
; Collateralized Debt Obligations (CDOs) ; Credit Default …
Persistent link: https://www.econbiz.de/10009706532
Saved in:
8
Integration of asset backed securities in the credit risk+ model
Glaser, Achim
-
2007
Persistent link: https://www.econbiz.de/10003561609
Saved in:
9
Efficient Value at Risk Estimation for Mortgage-Backed Securities
Han, Chulwoo
-
2014
We develop an efficient Monte Carlo simulation-based methodology for value at risk (VaR) and sensitivity analysis of mortgage-backed securities (MBS) that employs an importance sampling technique developed for quadratic VaR models. Our approach, whose validity is derived from a fundamental...
Persistent link: https://www.econbiz.de/10013055126
Saved in:
10
Financial constraints and collateral crises
Araujo, Luis
;
Guimarães, Bernardo
;
Rodrigues, Diego
-
2020
Persistent link: https://www.econbiz.de/10012172921
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