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CDOs and the financial crisis : credit ratings and fair premia
Wojtowicz, Marcin - 2011
than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which … that payoff prospects and credit quality of CDO tranches are characterized by low stability. If credit conditions …
Persistent link: https://www.econbiz.de/10011383027
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An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches
Hull, John C.; White, Alan - 2010
In Hull and White (2006) we showed how CDO quotes can be used to imply a probability distribution for the hazard rate over the life of the CDO. This is known as the implied copula model. In this paper we develop a parametric version of the implied copula model and show how it can be used for...
Persistent link: https://www.econbiz.de/10014189778
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Systematic Risk of Cdos and Cdo Arbitrage
Hamerle, Alfred - 2016
Persistent link: https://www.econbiz.de/10012989251
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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
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Credit Derivative Theory & Practice – A Credit Primer & Review of the Impact of ISDA Standardization on Credit Default Swap Pricing & Credit Model Calibration
Burgess, Nicholas - 2018
In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International … Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an … Excel pricing workbook to supplement the materials discussed. The main goal is for this paper to act as a credit primer and …
Persistent link: https://www.econbiz.de/10012925163
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Measuring the credit risk of synthetic CDOs with CDS-implied ratings
Hamilton, David T.; Choi, Yukyung - In: The journal of fixed income 19 (2009/10) 1, pp. 40-54
Persistent link: https://www.econbiz.de/10003875978
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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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Asset-backed securitization, collateralized loan obligations and credit derivatives
Ward, Warrick; Wolfe, Simon - In: Handbook of international banking, (pp. 60-101). 2003
Persistent link: https://www.econbiz.de/10001741121
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Credit derivatives : CDOs and structured credit products
Das, Satyajit - 2005 - 3rd ed
Persistent link: https://www.econbiz.de/10002620876
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2016
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...
Persistent link: https://www.econbiz.de/10011975264