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