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21
Quantitative assessment of securitisation deals
Campolongo, Francesca
;
Jönsson, Henrik
;
Schoutens, Wim
-
2012
Persistent link: https://www.econbiz.de/10009623223
Saved in:
22
Risks of leveraged products
Di Cesare, Antonio
-
2012
instruments. value-at-risk ; leverage ; hedge funds ; serial
correlation
; Collateralized Debt Obligations (CDOs) ; Credit Default …
Persistent link: https://www.econbiz.de/10009706532
Saved in:
23
Valuation and VaR computation for CDOs using Stein's method
El Karoui, Nicole
;
Jiao, Ying
;
Kurtz, David
- In:
Applied quantitative finance
,
(pp. 161-189)
.
2009
Persistent link: https://www.econbiz.de/10003746015
Saved in:
24
Integration of asset backed securities in the credit risk+ model
Glaser, Achim
-
2007
Persistent link: https://www.econbiz.de/10003561609
Saved in:
25
The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D.
- In:
Journal of investment management : JOIM
15
(
2017
)
2
,
pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
Saved in:
26
Efficient Value at Risk Estimation for Mortgage-Backed Securities
Han, Chulwoo
-
2014
We develop an efficient Monte Carlo simulation-based methodology for value at risk (VaR) and sensitivity analysis of mortgage-backed securities (MBS) that employs an importance sampling technique developed for quadratic VaR models. Our approach, whose validity is derived from a fundamental...
Persistent link: https://www.econbiz.de/10013055126
Saved in:
27
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
Jarrow, Robert A.
;
Deventer, Donald R. van
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 237-255
Persistent link: https://www.econbiz.de/10014320229
Saved in:
28
Financial constraints and collateral crises
Araujo, Luis
;
Guimarães, Bernardo
;
Rodrigues, Diego
-
2020
Persistent link: https://www.econbiz.de/10012172921
Saved in:
29
Correlation
surprise
Kinlaw, Will
;
Turkington, David
- In:
The journal of asset management
14
(
2013
)
6
,
pp. 385-399
Persistent link: https://www.econbiz.de/10010258478
Saved in:
30
Optimal monetary policy in a collateralized economy
Gorton, Gary
;
He, Ping
-
2016
Persistent link: https://www.econbiz.de/10011544546
Saved in:
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