Dynamic risk model for CMO with credit tranching
Year of publication: |
December 2015
|
---|---|
Authors: | Parnes, Dror |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 4, p. 1-15
|
Subject: | Dynamic risk model | collateralized mortgage obligation | credit tranching | stochastic credit quality | differential equations | Theorie | Theory | Kreditrisiko | Credit risk | Hypothek | Mortgage | Verbriefung | Securitization | Kreditsicherung | Collateral | Kreditwürdigkeit | Credit rating | Kreditgeschäft | Bank lending | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
-
Securitization and the subprime mortgage crisis
Peicuti, Cristina, (2013)
-
Ratings based capital adequacy for securitizations
Lützenkirchen, Kristina, (2013)
-
Treatment of double default effects within the granularity adjustment for Basel II
Ebert, Sebastian, (2009)
- More ...
-
The information content of analysts reports and bankruptcy risk measures
Parnes, Dror, (2010)
-
Time to default and other sensitivities of credit ratings
Parnes, Dror, (2010)
-
Corporate Governance and Corporate Creditworthiness
Parnes, Dror, (2011)
- More ...