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Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

crisis, however, their importance has increased strongly. (II) In line with a plausible default order, we observe that …

Persistent link: https://www.econbiz.de/10010405475

A critical review of neoclassical modeling techniques in structured finance

Fahey, Brian - In: Journal of post-Keynesian economics : JPKE 35 (2013) 3, pp. 319-340

Persistent link: https://www.econbiz.de/10009759928

Collateral debt obligation pricing

Servigny, Arnaud de - In: The handbook of structured finance, (pp. 239-293). 2007

Persistent link: https://www.econbiz.de/10003727137

Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools

Diener, Nicolas; Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10009624528

Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224

Persistent link: https://www.econbiz.de/10011477301

Copula sensitivity in collateralized debt obligations and basket default swaps

Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70

Persistent link: https://www.econbiz.de/10001850813

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. - 2016

) and Credit Default Swaps (CDS). The simultaneous accumulation of RMBS assets on US banks' balance sheets and also large …, 2002, on synthetic securitization and credit risk transfer (CRT), led to the unsustainable trends and systemic risk. The …

Persistent link: https://www.econbiz.de/10013007658

Modeling joint default in correlation-sensitive instruments

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 15-42

Persistent link: https://www.econbiz.de/10011642666

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

Valuation of collateralized debt obligations : an equilibrium model

Hu, May; Park, Jason - In: Economic modelling 82 (2019), pp. 119-135

Persistent link: https://www.econbiz.de/10012202380