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An asset allocation problem with credit derivatives
Menoncin, Francesco - In: The credit derivatives handbook : global perspectives, …, (pp. 337-360). 2008
Persistent link: https://www.econbiz.de/10003748430
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Dynamic risk model for CMO with credit tranching
Parnes, Dror - In: International journal of financial engineering 2 (2015) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011493318
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Modeling correlation structure for collateralized debt obligations
Ilalan, Deniz - In: International journal of financial research 6 (2015) 2, pp. 72-83
Persistent link: https://www.econbiz.de/10011404924
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An introduction to CDO modelling and applications
Bluhm, Christian; Overbeck, Ludger - In: Credit risk models and management, (pp. 419-481). 2004
Persistent link: https://www.econbiz.de/10002433374
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Three essays on credit risk
Hricko, Tomas - 2001
Persistent link: https://www.econbiz.de/10001636703
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Credit, Endogenous Collateral and Risky Assets : A DSGE Model
Falagiarda, Matteo - 2013
This paper proposes a new Dynamic Stochastic General Equilibrium (DSGE) model with credit frictions and a banking sector, which endogenizes loan-to-value (LTV) ratios of households and banks by expressing them as a function of systemic and idiosyncratic proxies for risk. Moreover, the model...
Persistent link: https://www.econbiz.de/10013071539
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Prices and Investment with Collateral and Default
Magill, Michael J. P. - 2014
collateral for loans, to study the effect of an unanticipated income shock when the economy is in a steady state equilibrium. We … focus on the consequence of default on loans when the value of the collateral falls below the value of the debt it secures …
Persistent link: https://www.econbiz.de/10013055704
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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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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
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Aktives Kreditrisikomanagement : Portfoliomodelle & innovative Produkte
Schulze, Claudia; Pfeiffer, Verena; Witzke, Torsten - 2001
Persistent link: https://www.econbiz.de/10013433861