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Portfolio credit risk modelling with heavy-tailed risk factors

Kostadinov, Krassimir Kolev (contributor) - 2006

Persistent link: https://www.econbiz.de/10003358509

A comparative analysis of CDO risk models

Dewyspelaere, Tom; Garcia, João Batista C.; Renault, … - In: Structured credit products : pricing, rating, risk …, (pp. 245-260). 2004

Persistent link: https://www.econbiz.de/10003283245

The changing profile of risk - the impact of Basel II on ABS issurance and investment

Herrmann, Markus - In: Asset securitisation and synthetic structures : …, (pp. 26-35). 2006

Persistent link: https://www.econbiz.de/10003340373

Risikotriade : Zins-, Kredit- und operationelle Risiken

Wiedemann, Arnd - 2008 - 2., überarb. Aufl.

Persistent link: https://www.econbiz.de/10003794070

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …