Similar Search Results

Asset-backed securitization, collateralized loan obligations and credit derivatives

Ward, Warrick; Wolfe, Simon - In: Handbook of international banking, (pp. 60-101). 2003

Persistent link: https://www.econbiz.de/10001741121

Structured credit products : credit derivatives and synthetic securitisation

Choudhry, Moorad - 2004

Persistent link: https://www.econbiz.de/10001821012

Structured credit: cash flow and synthetic CDOs

Masek, Oldrich; Choudhry, Moorad - In: The handbook of European structured financial products, (pp. 553-592). 2004

Persistent link: https://www.econbiz.de/10002011636

Financial Intermediation Theory and Implications for the Sources of Value in Structured Finance Markets

Mitchell, Janet - 2010

Structured finance instruments represent a form of securitization technology which can be defined by the … securitization, in order to identify the economic forces underlying the creation of SF instruments. A question addressed is under … what circumstances one would expect to observe pooling alone (as with traditional securitization) versus pooling and …

Persistent link: https://www.econbiz.de/10013137214

Anatomy of ABS CDO : Why Do ABS CDOs Exist?

Park, Sunyoung - 2013

that there is a large re-securitization rate distinction between AAA- and non AAA-rated tranches. Less than 1% of AAA …

Persistent link: https://www.econbiz.de/10013083730

Comparison of Copulas for CDO valuation

Kolman, Marek - 2017

Several models of how to price synthetic CDOs are presented. The study focuses on comparison of classical Gaussian copula with NIG copula, double t-copula and gaussian stochastic correlation model. Because the the t-copula is technically the most demanding of the presented approaches and usually...

Persistent link: https://www.econbiz.de/10012961295

Price Discovery in the Residential Mortgage-backed Security, Credit Default Swap, and ABX Markets

Imerman, Michael B. - 2020

This paper analyzes price discovery among residential mortgage-backed securities (MBS), their credit default swaps (ABCDS), and the associated ABX contracts. VECM regressions show that the MBS and ABX markets lead price discovery over the ABCDS market. Neither the MBS nor the ABX market...

Persistent link: https://www.econbiz.de/10012853407

Collateral constraints, tranching, and price bases

Gong, Feixue; Phelan, Gregory - 2021 - This version: April 6, 2021

Persistent link: https://www.econbiz.de/10012603945

Toxic asset subsidies and the early redemption of talf loans

Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20

This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by the 3rd quarter of the 2010, there was on...

Persistent link: https://www.econbiz.de/10013252762

Debt collateralization, capital structure, and maximal leverage

Gong, Feixue; Phelan, Gregory - In: Economic theory : official journal of the Society for … 70 (2020) 2, pp. 579-605

Persistent link: https://www.econbiz.de/10012306395