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The Pricing puzzle: The default term structure of collateralised loan obligations
Jobst, Andreas A. - 2002
-neutral asset returns of contingent claims on a multi-asset portfolio of corporate loans in a CLO transaction, we analyse the … theory (EVT). The analysis illustrates the dichotomous effect of loss cascading, as the most junior tranche of CLO …
Persistent link: https://www.econbiz.de/10010298236
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The Pricing puzzle: The default term structure of collateralised loan obligations
Jobst, Andreas A. - Center for Financial Studies - 2002
-neutral asset returns of contingent claims on a multi-asset portfolio of corporate loans in a CLO transaction, we analyse the … theory (EVT). The analysis illustrates the dichotomous effect of loss cascading, as the most junior tranche of CLO …
Persistent link: https://www.econbiz.de/10010958811
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Collateralised loan obligations (CLOs): A primer
Jobst, Andreas A. - 2002
structuring of CLO transactions. …
Persistent link: https://www.econbiz.de/10010317377
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Collateralised loan obligations (CLOs) : a primer
Jobst, Andreas A. - 2002
structuring of CLO transactions. …
Persistent link: https://www.econbiz.de/10009767122
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Collateralised loan obligations (CLOs): A primer
Jobst, Andreas A. - Center for Financial Studies - 2002
structuring of CLO transactions. …
Persistent link: https://www.econbiz.de/10010958689
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Asset Pricing and Investor Risk in Subordinated Asset Securitisation
Jobst, Andreas (Andy) - 2005
presents a loss-based asset pricing model for the valuation of constituent tranches within a CLO-style security design. The … tranches as beneficial interests on a designated loan pool typically underlying a CLO transaction. We obtain a tranche … term structure of the most junior tranche of CLO transactions (quot;first loss positionquot;) being distinctly different …
Persistent link: https://www.econbiz.de/10012736562
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The Pricing Puzzle : The Default Term Structure of Collateralised Loan Obligations
Jobst, Andreas (Andy) - 2003
-neutral asset returns of contingent claims on a multi-asset portfolio of corporate loans in a CLO transaction, we analyse the … theory (EVT). The analysis illustrates the dichotomous effect of loss cascading, as the most junior tranche of CLO …
Persistent link: https://www.econbiz.de/10012740127
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European Securitisation: A GARCH Model of CDO, MBS and Pfandbrief Spreads
Jobst, Andreas A. - 2003
Asset-backed securitisation (ABS) is an asset funding technique that involves the issuance of structured claims on the cash flow performance of a designated pool of underlying receivables. Efficient risk management and asset allocation in this growing segment of fixed income markets requires...
Persistent link: https://www.econbiz.de/10010316228
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Concept and Mathematics of Islamic Financial Engineering
Aydin, Nadi Serhan - 2012
We argue that Islamic principles, in particular the avoidance of ribā and gharar should be applied with respect to real economic value rather than to monetary value in terms of conventional currency. In order to reconcile monetary value with economic value, we propose a reference currency...
Persistent link: https://www.econbiz.de/10013102582
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Credit ratings in structured finance and the role of systemic risk
Violi, Roberto - Banca d'Italia - 2010
, CDO, CLO, etc.). I argue that a proper 'dynamic' modeling of systemic risk is crucial for gauging the exposure to default …
Persistent link: https://www.econbiz.de/10008677911