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bond and credit default swap (CDS) spreads, known as the basis, is caused by variation in measures of index inclusion …
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the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities …
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This paper is intended as a pedagogical note to explain CDO and structured financial credit products modeling and some approaches to their pricing. The authors thank the NYU-Polytechnic Institute for the research support through the department of Finance and Risk Engineering and the Topfer Chair
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activities. For this purpose, I propose a novel measure of synthetic leverage, which can be estimated based on publicly available … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …
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