Search Results - subject:"Collateralized Debt Obligations"

Eine empirische Analyse der Spreadunterschiede von Festsatzanleihen zu Floatern im Euroraum und deren Zusammenhang zum Preis eines Credit Default Swaps

Heidorn, Thomas; Kantwill, Jens - 2002

Persistent link: https://www.econbiz.de/10001752643

An empirical analysis of credit default swaps

Skinner, Frank S.; Townend, Timothy G. - In: International review of financial analysis 11 (2002) 3, pp. 297-309

Persistent link: https://www.econbiz.de/10001715975

Special issue: credit derivatives

Batten, Jonathan A. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001716000

Valuing default swaps under market and credit risk correlation

Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19

Persistent link: https://www.econbiz.de/10001701698

Recovery assumptions in the valuation of credit derivatives

Delianedis, Gordon; Lagnado, Ronald - In: The journal of fixed income 11 (2001) 4, pp. 20-30

Persistent link: https://www.econbiz.de/10001701705

Die Zukunft des Managements von Bonitätsrisiken : Kreditderivate - mehr als eine Modeerscheinung

Friedrich, Alexander - In: Die Zukunft der Banken - die Banken der Zukunft, (pp. 133-168). 2002

Persistent link: https://www.econbiz.de/10001671900

Bewertung von Kreditrisiken und Kreditderivaten

Läger, Volker - 2002

Persistent link: https://www.econbiz.de/10001669896

Die Bilanzierung von Kreditderivaten : Erläuterungen zur Stellungnahme IDW RS BFA 1

Kühnle, Manfred - In: WPg : Kompetenz schafft Vertrauen 55 (2002) 6, pp. 288-299

Persistent link: https://www.econbiz.de/10001655986

Special issue: credit derivatives

Batten, Jonathan A. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001728576

EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL

SOWERS, RICHARD B. - In: International Journal of Theoretical and Applied … 13 (2010) 03, pp. 367-401

We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a simplified model which will allow us to introduce some of the concepts and calculations.

Persistent link: https://www.econbiz.de/10008494380