Zobrazeno 1 - 10
of 4 322
pro vyhledávání: '"Synthetic CDO"'
Autor:
Tevatia, Rahul, Payne, Sophie, Allen, James, White, Derrick, Clemente, Thomas E., Cerutti, Heriberto, Demirel, Yaşar, Blum, Paul
Publikováno v:
In Algal Research June 2019 40
Autor:
JABłECKI, JULIUSZ1
Publikováno v:
International Journal of Theoretical & Applied Finance. Dec2017, Vol. 20 Issue 8, p-1. 28p. 9 Charts, 5 Graphs.
Autor:
LIU, WEN-QIONG1 liu_wenqiong6510@126.com, HUANG, WEN-LI2 wlhuangmath@126.com
Publikováno v:
International Journal of Theoretical & Applied Finance. Mar2019, Vol. 22 Issue 2, pN.PAG-N.PAG. 17p. 3 Charts, 5 Graphs.
Autor:
Zapata, Javier1, Cifuentes, Arturo2
Publikováno v:
International Finance. Summer2016, Vol. 19 Issue 2, p201-218. 18p.
Publikováno v:
Applied Economics. 2015, Vol. 47 Issue 15, p1574-1587. 14p. 2 Diagrams, 6 Charts, 2 Graphs.
Autor:
Frey, Rüdiger, Backhaus, Jochen
Publikováno v:
In Journal of Economic Dynamics and Control 2010 34(4):710-724
Autor:
Javier Zapata, Arturo Cifuentes
Publikováno v:
International Finance. 19:201-218
Synthetic collateralized debt obligations (CDOs) performed very badly during the subprime crisis: they suffered massive rating downgrades (even at the most senior levels of the capital structure) and inflicted significant losses on investors. Using n
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9a1760aa2597f5a815c4fa8f8d90ac8f
https://doi.org/10.1111/infi.12086
https://doi.org/10.1111/infi.12086
Publikováno v:
法政大学大学院紀要. 理工学・工学研究科編. 56:1-6
We consider the price of Synthetic Collateralized Debt Obligation (CDO). The factor model for portfolio of default is originated by Vasicek [3]. In this paper, we extend it to the CDO model where credit defaults are assumed to be bivariate normal dis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=jairo_______::06d5c3b2362b7448237e6ff751bce0b9
http://hdl.handle.net/10114/10628
http://hdl.handle.net/10114/10628
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Publikováno v:
Applied Economics. 47:1574-1587
The underlying asset pool of collateral debt obligations (CDOs) simultaneously encompasses credit risk and market risk. However, the standard CDO pricing model not only underestimates the risk to the asset pool due to a poor description of the correl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::376996aacc78c8dc7197b991d9b62739
https://doi.org/10.1080/00036846.2014.1000525
https://doi.org/10.1080/00036846.2014.1000525