Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Sheri M. Markose, Bewaji Oluwasegun & Simone Giansante
| Year of publication: |
2012
|
|---|---|
| Authors: | Markose, Sheri M. ; Oluwasegun, Bewaji ; Giansante, Simone |
| Publisher: |
Colchester : Univ. of Essex, Dep. of Economics |
| Subject: | Multi-agent Modelling | Stress Test of Policy | Credit Risk Transfer | Residential Mortgage | Backed Securities | Collateralized Debt Obligation | Credit Default Swaps | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Asset-Backed Securities | Asset-backed securities | Derivat | Derivative | Kreditsicherung | Collateral | Systemrisiko | Systemic risk | Theorie | Theory | Hypothek | Mortgage | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Finanzkrise | Financial crisis | USA | United States | Stresstest | Stress test | Agentenbasierte Modellierung | Agent-based modeling |
| Extent: | Online-Ressource (PDF-Datei: 33 S., 650,93 KB) graph. Darst. |
|---|---|
| Series: | Discussion paper series / University of Essex, Department of Economics. - Colchester : [Verlag nicht ermittelbar], ISSN 1755-5361, ZDB-ID 2134541-7. - Vol. 714 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009544686