Similar Search Results - EconBiz

CDOs : a critical phenomenon of the financial system in the crisis

Beyer, Karl M.; Bräutigam, Lars - 2013

Persistent link: https://www.econbiz.de/10011777878

CDO surfaces dynamics

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by...

Persistent link: https://www.econbiz.de/10009763975

Factor copula model for portfolio credit risk

Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012652691

Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis

Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012

Persistent link: https://www.econbiz.de/10009544686

The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk

Gilchrist, Simon; Zakrajšek, Egon - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 29-57

Persistent link: https://www.econbiz.de/10010344557

Default risk of money-market fund portfolios

Bansal, Matulya - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 43-71

Persistent link: https://www.econbiz.de/10011442549

Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach

Liu, Wen-Qiong; Huang, Wen-Li - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012012947

Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016

Persistent link: https://www.econbiz.de/10011457153

Macroeocnomic-driven prepayment risk and the valuation of mortage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016 - This revision March 2016

Persistent link: https://www.econbiz.de/10011481947

Monetary stimulus and bank lending

Chakraborty, Indraneel; Goldstein, Itay; MacKinlay, … - In: Journal of financial economics 136 (2020) 1, pp. 189-218

Persistent link: https://www.econbiz.de/10012545388

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