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Pricing distressed CDOs with stochastic recovery
Höcht, Stephan; Zagst, Rudi - In: Review of derivatives research 13 (2010) 3, pp. 219-244
Persistent link: https://www.econbiz.de/10008695890
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An analysis of government guarantees and the functioning of asset-backed securities markets
Hancock, Diana; Passmore, Stuart Wayne - 2010
Persistent link: https://www.econbiz.de/10008696464
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Rollover risk and market freezes
Acharya, Viral V.; Gale, Douglas; Yorulmazer, Tanju - 2010
"The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. We present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. The borrowing in this model takes the...
Persistent link: https://www.econbiz.de/10003931359
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Stein's method and zero bias transformation for CDO tranche pricing
El Karoui, Nicole; Jiao, Y. - In: Finance and stochastics 13 (2009) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003939500
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The subprime mortgage crisis and its connections with bank bailouts
Petersen, Mark A.; Senosi, M. C.; Mukuddem-Petersen, Janine - In: Finance and banking developments, (pp. 289-332). 2010
Persistent link: https://www.econbiz.de/10008860363
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Exact pricing asymptotics of investment-grade tranches of synthetic CDO's : a large homogeneous pool
Sowers, R. B. - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 367-401
Persistent link: https://www.econbiz.de/10008904367
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Notes on exact and semi-exact Lévy models for the valuation of CDOs
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 979-1000
Persistent link: https://www.econbiz.de/10008905093
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Analyse der systematischen Risiken von strukturierten Kreditverbriefungen
Schropp, Hans-Jochen - 2011
Persistent link: https://www.econbiz.de/10003992211
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Mortgage-backed securities in a strategic asset allocation framework
Brennan, Myles; Kobor, Adam - In: Interest rate models, asset allocation and quantitative …, (pp. 225-248). 2010
Persistent link: https://www.econbiz.de/10008746609
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Fast Gamma computations for CDO tranches
Joshi, Mark S.; Chao Yang - 2010
Persistent link: https://www.econbiz.de/10008806581