Zobrazeno 1 - 10
of 336
pro vyhledávání: '"Synthetic CDO"'
Autor:
SILVIU EDUARD DINCA
Publikováno v:
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, Vol 1, Iss 1, Pp 110-119 (2016)
During the past few years, in the recent post-crisis aftermath, global asset managers are constantly searching new ways to optimize their investment portfolios while financial and banking institutions around the world are exploring new alternatives
Externí odkaz:
https://doaj.org/article/23627832b82645408f19f74d8c520363
Autor:
Silviu Eduard Dinca
Publikováno v:
Studies and Scientific Researches: Economics Edition, Vol 0, Iss 22 (2015)
During the past few years, in the recent post-crisis aftermath, global asset managers are constantly searching new ways to optimize their investment portfolios while financial and banking institutions around the world are exploring new alternatives t
Externí odkaz:
https://doaj.org/article/8155210510d349909fd2ebd0f7b1c247
We study financial networks and reveal a new kind of systemic risk arising from what we call default ambiguity—that is, a situation where it is impossible to decide which banks are in default. Specifically, we study the clearing problem: given a ne
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d2d59ac62bfe77630a696442c537b6b9
https://doi.org/10.5167/uzh-174513
https://doi.org/10.5167/uzh-174513
Publikováno v:
Journal of Futures Markets. 37:766-802
This study investigates the importance of the business cycle in explaining credit default swap spread changes by utilizing ex ante proxies. It uses portfolio regression and finds the structural variables, including the business cycle, explain approxi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::61e3ba1d81e3d40257b2bee291fb49d9
https://doi.org/10.1002/fut.21836
https://doi.org/10.1002/fut.21836
Autor:
Craig Furfine
Publikováno v:
Betting on Failure: Profiting from Defaults on Subprime Mortgages
In October 2008, in the midst of a financial crisis, Anthony Keating, investment manager at the Boston private bank Billingsley, Blaylock, and Montgomery, was searching for an investment strategy to recommend to his high-net-worth clients. Traditiona
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6c882908c51d542661f190d2fea63a2b
https://doi.org/10.1108/case.kellogg.2016.000040
https://doi.org/10.1108/case.kellogg.2016.000040
Autor:
Stephen Carlson, David P. Stowell
Publikováno v:
Kellogg School of Management Cases. :1-23
Hedge fund Magnetar Capital had returned 25 percent in 2007 with a strategy that posed significantly lower risk to investors than the S&P 500. Magnetar had made more than $1 billion in profit by noticing that the equity tranche of CDOs and CDO-deriva
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0b8a99ea4386dfc227f3441948d45626
https://doi.org/10.1108/case.kellogg.2016.000006
https://doi.org/10.1108/case.kellogg.2016.000006
Autor:
Liu Wenqiong, Shenghong Li
Publikováno v:
Applied Mathematics and Computation. 291:279-291
The paper is concerned with the hedging of credit derivatives, in particular synthetic collateralized debt obligations (CDOs) tranches and first to default swap (FTD) with respect to actually traded credit default swaps index (CDS index). In the mode
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00cdc35185c8eabacea483354fc931a0
https://doi.org/10.1016/j.amc.2016.06.049
https://doi.org/10.1016/j.amc.2016.06.049
Autor:
Fergal McCann, Robert Kelly
Publikováno v:
Journal of Banking & Finance. 72:15-27
The 2007–2008 financial crisis yielded a significant number of delinquent mortgage loans, which ordinarily would have faced foreclosure and repossession. However, given the negative externalities of repossession, policy response has shifted towards
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8ba087baae2f7128e59528979f3455f
https://doi.org/10.1016/j.jbankfin.2016.07.006
https://doi.org/10.1016/j.jbankfin.2016.07.006
Publikováno v:
Pacific-Basin Finance Journal. 39:256-274
We examine loan defaults by firms and identify the factors that influence both the default resolution process and firms' access to fresh credit after firms exit default. Using a dataset of all commercial loans made in Pakistan from 2006 to 2013, we f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::259b172ebd87c94c273af62f5a06bb95
https://doi.org/10.1016/j.pacfin.2016.06.009
https://doi.org/10.1016/j.pacfin.2016.06.009
Publikováno v:
The Journal of Structured Finance. 22:7-15
This article describes an analytical approach to examine the credit-risk behavior of a homogeneous portfolio. The authors demonstrate the usefulness of the approach using a synthetic index linked to high-yield corporate bonds (which resembles a synth
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::93a6f16e1434e79861f7e76fc4d7adfb
https://doi.org/10.3905/jsf.2016.22.2.007
https://doi.org/10.3905/jsf.2016.22.2.007