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An analytical approach for systematic risk sensitivity of structured finance products
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel - In: Review of derivatives research 17 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010519296
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Bond Valuation : Modeling Downgrade Risk and Default Risk Based on Rating Migration Variation as Uncertainty Over the Investment Horizon Through Optimization
Barnard, Brian - 2021
accurate and practical modeling of downgrade risk and default risk, as including rating migration uncertainty. Rather than … component of default risk and downgrade risk, may very well be a significant factor of bond value. Prices calculated in this way …
Persistent link: https://www.econbiz.de/10013237304
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Z-score vs minimum variance preselection methods for constructing small portfolios
Cesarone, Francesco; Mango, Fabiomassimo; Sabato, Gabriele - In: Investment management and financial innovations 17 (2020) 1, pp. 64-76
Persistent link: https://www.econbiz.de/10012299819
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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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Modelling credit risk with scarce default data : on the suitability of cooperative bootstrapped strategies for small low-default portfolios
Florez-Lopez, Raquel; Ramon-Jeronimo, Juan Manuel - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 416-434
Persistent link: https://www.econbiz.de/10010251689
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ETF risk models
Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10013407268
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Interaction between financial risk measures and machine learning methods
Gotoh, Jun-ya; Takeda, Akiko; Yamamoto, Rei - In: Computational Management Science : CMS 11 (2014) 4, pp. 365-402
Persistent link: https://www.econbiz.de/10010437153
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Assessing Risk on Subprime Mortgage Backed Securities : Did Credit Rating Agencies Misrepresent Risk to Investors?
Barnett, Harold C. - 2011
misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … Sachs presentation to its Board highlights factors that enhanced the risk of default in 2006-2007. Review of a select sample … associates with an increased risk of default. These disclosures suggest that the risk of default increased step wise beginning in …
Persistent link: https://www.econbiz.de/10013121890
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Market share and risk taking : the role of collateral asset managers in the collapse of the arbitrage CDO market
Mählmann, Thomas - In: Review of quantitative finance and accounting 47 (2016) 2, pp. 273-303
Persistent link: https://www.econbiz.de/10011595589
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A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics
Singh, Arti; Dharmaraja, Selvamuthu - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 102-119
Persistent link: https://www.econbiz.de/10011862377