Search Results - subject:"CDOs"

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS

DIENER, NICOLAS; JARROW, ROBERT; PROTTER, PHILIP - In: International Journal of Theoretical and Applied … 15 (2012) 02, pp. 1250011-1

asymptotic valuation formulas for credit derivatives on baskets, including synthetic and cash-flow CDOs. In particular …, approximate pricing procedures are provided for synthetic and cash-flow CDOs. In the process, this paper also clarifies the …

Persistent link: https://www.econbiz.de/10010883217

Securitization without adverse selection: The case of CLOs

Benmelech, Efraim; Dlugosz, Jennifer; Ivashina, Victoria - In: Journal of Financial Economics 106 (2012) 1, pp. 91-113

In this paper, we investigate whether securitization was associated with risky lending in the corporate loan market by examining the performance of individual loans held by collateralized loan obligations. We employ two different data sets that identify loan holdings for a large set of CLOs and...

Persistent link: https://www.econbiz.de/10010593835

The incentives leading up to the 2008 financial crisis

Rotthoff, Kurt W. - In: International Journal of Trade and Global Markets 4 (2011) 4, pp. 343-349

There are many events that led up to the financial crisis of 2008. This study looks at the political policies in place before the crisis happened. Focusing on the decade and a half prior to the crisis, the incentives in the financial industry led to risk mitigation. This response to mitigate...

Persistent link: https://www.econbiz.de/10009352774

NOTES ON EXACT AND SEMI-EXACT LÉVY MODELS FOR THE VALUATION OF CDOs

EICHLER, A.; LEOBACHER, G.; ZELLINGER, H. - In: International Journal of Theoretical and Applied … 13 (2010) 06, pp. 979-1000

collateralized debt obligations (CDOs) using a firm's value approach. Those assumptions are the homogeneity and largeness of the …

Persistent link: https://www.econbiz.de/10008506138

Primitive and Modern Economics: Derivatives, Liquidity, Value, Panic and Crises, A Uniformitarian View

Caldararo, Niccolo - In: Forum for Social Economics 38 (2009) 1, pp. 31-51

Persistent link: https://www.econbiz.de/10005155613

Discussion of Alchemy of CDO Ratings

Ashcraft, Adam B. - In: Journal of Monetary Economics 56 (2009) 5, pp. 635-638

Persistent link: https://www.econbiz.de/10005006164

PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL

GUILLAUME, FLORENCE; JACOBS, PHILIPPE; SCHOUTENS, WIM - In: International Journal of Theoretical and Applied … 12 (2009) 05, pp. 663-685

of the joint number of defaults affecting the inner CDOs. More particularly, a sensitivity analysis is carried out for …

Persistent link: https://www.econbiz.de/10008512503

Reflexiones en torno a la crisis actual, la ética y el especialismo cuantitativo

Borrell Vidal, Máximo - In: Información comercial española : ICE : revista de … 850 (2009), pp. 9-21

Persistent link: https://www.econbiz.de/10012103842

PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES

FREY, RÜDIGER; BACKHAUS, JOCHEN - In: International Journal of Theoretical and Applied … 11 (2008) 06, pp. 611-634

such as basket default swaps and collaterized debt obligations (CDOs) and discuss the calibration to market data. …

Persistent link: https://www.econbiz.de/10005060227

A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

SIDENIUS, JAKOB; PITERBARG, VLADIMIR; ANDERSEN, LEIF - In: International Journal of Theoretical and Applied … 11 (2008) 02, pp. 163-197

We present the SPA framework, a novel approach to the modeling of the dynamics of portfolio default losses. In this framework, models are specified by a two-layer process. The first layer models the dynamics of portfolio loss distributions in the absence of information about default times. This...

Persistent link: https://www.econbiz.de/10004977441