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The valuation of correlation-dependent credit derivatives using a structural model

Hull, John; Predescu, Mirela; White, Alan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 3, pp. 99-132

Persistent link: https://www.econbiz.de/10008696412

Pricing and hedging collateralized loan obligations with implied factor models

Nedeljkovic, Jovan; Rosen, Dan; Saunders, David M. - In: The journal of credit risk : published quarterly by … 6 (2010/11) 3, pp. 53-97

Persistent link: https://www.econbiz.de/10008696417

Stein's method and zero bias transformation for CDO tranche pricing

El Karoui, Nicole; Jiao, Y. - In: Finance and stochastics 13 (2009) 2, pp. 151-180

Persistent link: https://www.econbiz.de/10003939500

Automated valuation models and non-agency RMBS property evaluation and analysis

Jensen, Rod E.; Reifler, Jonathan - In: The journal of structured finance 15 (2009) 4, pp. 43-57

Persistent link: https://www.econbiz.de/10003950054

Main flaws of the collateralized debt obligation's valuation before and during the 2008/2009 global turmoil

Benešová, Petra; Teplý, Petr - 2010

As a result of the 2008 financial crisis, the world credit markets stalled significantly and raised the doubts of market participants and policymakers about the proper and fair valuation of financial derivatives and structured products such as collateralized debt obligations (CDOs). The aim of...

Persistent link: https://www.econbiz.de/10003958595