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Pricing and hedging collateral...
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1
Analytical methods for hedging systematic credit risk with linear factor portfolios
Rosen, Dan
;
Saunders, David M.
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 37-52
Persistent link: https://www.econbiz.de/10003810124
Saved in:
2
Valuing CDOs of bespoke portfolios with implied multi-factor models
Rosen, Dan
;
Saunders, David M.
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
3
,
pp. 3-36
Persistent link: https://www.econbiz.de/10003903232
Saved in:
3
Risk factor contributions in portfolio credit risk models
Rosen, Dan
;
Saunders, David M.
- In:
Journal of banking & finance
34
(
2010
)
2
,
pp. 336-349
Persistent link: https://www.econbiz.de/10003935602
Saved in:
4
Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II
Cespedes, Juan Carlos Garcia
;
Herrero, Juan Antonio de Juan
- In:
The journal of risk model validation
4
(
2010/11
)
1
,
pp. 71-98
Persistent link: https://www.econbiz.de/10003971978
Saved in:
5
CVA the wrong way
Rosen, Dan
;
Saunders, David M.
- In:
Journal of risk management in financial institutions
5
(
2011/12
)
3
,
pp. 252-272
Persistent link: https://www.econbiz.de/10009565851
Saved in:
6
Pricing and hedging collateralized loan obligations with implied factor models
Nedeljkovic, Jovan
;
Rosen, Dan
;
Saunders, David
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
3
,
pp. 53-97
Persistent link: https://www.econbiz.de/10009932491
Saved in:
7
Enterprise-wide asset and liability management: issues, institutions, and models
Rosen, Dan
;
Zenios, Stauros Andrea
-
2006
Persistent link: https://www.econbiz.de/10003356678
Saved in:
8
Pricing counterparty risk at the trade level and CVA allocations
Pykhtin, Michael
;
Rosen, Dan
-
2010
Persistent link: https://www.econbiz.de/10003968245
Saved in:
9
Pricing counterparty risk at the trade level and credit valuation adjustment allocations
Pykhtin, Michael
;
Rosen, Dan
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
4
,
pp. 3-38
Persistent link: https://www.econbiz.de/10008807742
Saved in:
10
Economic credit capital allocation and risk contributions
Mausser, Helmut
;
Rosen, Dan
- In:
Financial engineering
,
(pp. 681-726)
.
2008
Persistent link: https://www.econbiz.de/10003567775
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