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Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224

Persistent link: https://www.econbiz.de/10011477301

Debt collateralization, structured finance, and the CDS basis

Gong, Feixue; Phelan, Gregory - 2019 - This version: September 30, 2019

Persistent link: https://www.econbiz.de/10012116456

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475

Definition and evaluation of basket credit derivatives and single-tranche collateralized debt obligation swaps

Martin, Marcus R. W.; Reitz, Stefan; Wehn, Carsten - In: The handbook of credit portfolio management, (pp. 277-300). 2009

Persistent link: https://www.econbiz.de/10003778255

Fair Valuation of Mortgage Insurance with Current Loan-to-Value and Debt Service Ratios

Wu, Yang-Che - 2012

This study advances the mortgage insurance pricing literature by providing theory and methods for incorporating both … loan-to-value and debt service ratios to the pricing process of Mortgage Insurance (MI). Specifically, the MI is regarded … adjusted to different insurance coverage for borrowers' default losses. Finally, we conduct numerical and empirical analyses to …

Persistent link: https://www.econbiz.de/10013100790