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Collateralized Debt Obligations' valuation using the One Factor Gaussian Copula Model
Buzková, Petra; Teplý, Petr - In: Prague economic papers : a bimonthly journal of … 21 (2012) 1, pp. 30-49
Persistent link: https://www.econbiz.de/10009700586
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Structured debt ratings : evidence on conflicts of interest
Efing, Matthias; Hau, Harald - 2013
Persistent link: https://www.econbiz.de/10009759796
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Multirating decision model validation : the relevance of the quality of securitization issues
Pen̋a-Cerezo, Miguel Á.; Rodríguez Castellanos, Arturo; … - In: The journal of risk model validation 7 (2013) 3, pp. 35-58
Persistent link: https://www.econbiz.de/10010480649
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Pricing and hedging of CDOs : a top down approach
Filipović, Damir; Schmidt, Thorsten - In: Contemporary quantitative finance : essays in honour of …, (pp. 231-253). 2010
Persistent link: https://www.econbiz.de/10008749249
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Valuation of structured securities : RMBS case study
Belbase, Eknath - In: The journal of structured finance 18 (2012) 3, pp. 77-83
Persistent link: https://www.econbiz.de/10009681485
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Pricing Brazilian ABS to trade in the secondary market : benefits from assimilating best pricing practices
Budinger, Vernon H.; Wainger, Mark D. - In: The journal of structured finance 18 (2012) 3, pp. 50-61
Persistent link: https://www.econbiz.de/10009681499
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A copula-based model of the term structure of CDO tranches
Cherubini, Umberto; Mulinacci, Sabrina; Romagnoli, Silvia - In: Applied quantitative finance, (pp. 69-81). 2009
Persistent link: https://www.econbiz.de/10003745952
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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
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Mortgage valuation models : embedded options, risk, and uncertainty
Davidson, Andrew S.; Levin, Alexander - 2014
Persistent link: https://www.econbiz.de/10010395347
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Valuation of mortgage backed securities: from optimality to reality
Gaussel, Nicolas; Tamine, Julien - In: Statistical tools for finance and insurance, (pp. 201-223). 2005
Persistent link: https://www.econbiz.de/10002732828