Narrow search
Showing 91 - 100 of 59,903
Cover Image
CDO and ABS underperformance : a correlation story
Adelson, Mark H. - In: The journal of fixed income 13 (2003) 3, pp. 53-63
Persistent link: https://www.econbiz.de/10001968398
Cover Image
Modeling the Evolution of Implied CDO Correlations
Hofert, Marius - 2010
separately trading (or hedging) default correlations; all products exposed to correlation risk are contemporaneously also exposed … observable from traded assets. Inverting the classical Vasicek/Gauss copula model for the correlation parameter allows …
Persistent link: https://www.econbiz.de/10013138603
Cover Image
Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
Cover Image
The Correlation between the Value of Mortgage-Backed Securities & the Value of FTSE 100 Shares Price Index : September 2013 Prices
Mohamed, Ghada Gomaa A. - 2021
the correlation between these instruments' value and the value of the FTSE 100 share price index. The correlation between …
Persistent link: https://www.econbiz.de/10013239180
Cover Image
Rise and fall of synthetic CDO market : lessons learned
Jabłecki, Juliusz - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-28
Persistent link: https://www.econbiz.de/10011787469
Cover Image
Pricing of traffic light options and other correlation derivatives
Kokholm, Thomas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003781204
Cover Image
Dynamic option adjusted spread and the value of mortgage backed securities
Cerrato, Mario; Djennad, Abdelmadjid - 2009
Persistent link: https://www.econbiz.de/10003839283
Cover Image
Dynamic option adjusted spread and the value of mortgage backed securities
Cerrato, Mario (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003805892
Cover Image
The value of mortgage prepayment and default options
Chen, Yong; Connolly, Michael B.; Tang, Wenjin; Su, Tie - In: The journal of futures markets 29 (2009) 9, pp. 840-861
Persistent link: https://www.econbiz.de/10003900917
Cover Image
Indifference valuation of mortgage-backed securities in the presence of prepayment risk
Zhou, Ti - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 479-507
Persistent link: https://www.econbiz.de/10008667032