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The journal of fixed income
The definitive guide to CDOs : market, application, valuation and hedging
The journal of structured finance
150
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NBER working paper series
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ECONIS (ZBW)
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1
A fixed-income market view of mortgage REIT valuations
Gauthier, Laurent
- In:
The journal of fixed income
23
(
2014
)
4
,
pp. 6-17
Persistent link: https://www.econbiz.de/10010388882
Saved in:
2
Modeling prepayments and defaults for UK nonconforming RMBS
Kamra, Abhinav
;
Hayre, Lakhbir
;
Chiluveru, Sudhir
- In:
The journal of fixed income
22
(
2012
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10009670737
Saved in:
3
Determinants of primary market spreads on U.K. residential mortgage-backed securities and the implications for investor reliance on credit ratings
Fabozzi, Frank J.
;
Vink, Dennis
- In:
The journal of fixed income
21
(
2012
)
3
,
pp. 7-14
Persistent link: https://www.econbiz.de/10009532112
Saved in:
4
Diversification potential of structured securities
Plank, Kilian
- In:
The journal of fixed income
20
(
2010/11
)
4
,
pp. 24-32
Persistent link: https://www.econbiz.de/10009007995
Saved in:
5
CMBS tranche valuation framework : correlated geometric Brownian motions simulation
Shiu, Peijie
;
Luong, Uyen
;
Rozov, Yadin
- In:
The journal of fixed income
21
(
2011
)
1
,
pp. 55-66
Persistent link: https://www.econbiz.de/10009314955
Saved in:
6
Introducing the Citi LMM term structur model for mortgages
Karpishpan, Yakov
;
Turel, Ozgur
;
Hasha, Alexander
- In:
The journal of fixed income
20
(
2010/11
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003988060
Saved in:
7
An indirect approach to estimate the jumbo-conforming spread
An, Zhiyong
- In:
The journal of fixed income
20
(
2010/11
)
1
,
pp. 59-66
Persistent link: https://www.econbiz.de/10003988062
Saved in:
8
A capability study of portfolio insurance strategies for ABS funds and CDS total return indices during the subprime crisis
Ehlers, Stefan
;
Gürtler, Marc
- In:
The journal of fixed income
19
(
2009/10
)
4
,
pp. 6-21
Persistent link: https://www.econbiz.de/10003970347
Saved in:
9
Fundamental, flight-to-quality, and flight-to-liquidity components in subprime mortgage-backed security returns
Prendergast, Joseph R.
- In:
The journal of fixed income
19
(
2009/10
)
1
,
pp. 5-25
Persistent link: https://www.econbiz.de/10003875946
Saved in:
10
Measuring the credit risk of synthetic CDOs with CDS-implied ratings
Hamilton, David T.
;
Choi, Yukyung
- In:
The journal of fixed income
19
(
2009/10
)
1
,
pp. 40-54
Persistent link: https://www.econbiz.de/10003875978
Saved in:
11
The evolution of CDOs : from the bistro to CDO²
Boultwood, Brenda
;
Meissner, Gunter
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 5-20)
.
2008
Persistent link: https://www.econbiz.de/10003918565
Saved in:
12
The application of CDOs
Meissner, Gunter
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 21-32)
.
2008
Persistent link: https://www.econbiz.de/10003918597
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13
The underlying dynamics of credit correlations
Berd, Arthur
;
Engle, Robert F.
;
Voronov, Artem
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 73-116)
.
2008
Persistent link: https://www.econbiz.de/10003918664
Saved in:
14
Dynamic conditioning and credit correlation baskets
Albanese, Claudia
;
Vidler, Alicia
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 117-160)
.
2008
Persistent link: https://www.econbiz.de/10003918672
Saved in:
15
Approaches to generate the loss distribution
Grundke, Peter
;
Moosbrucker, Thomas
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 161-185)
.
2008
Persistent link: https://www.econbiz.de/10003918685
Saved in:
16
Modelling non-normal CDO returns with omega function
Bhaduri, Ranjan
;
Meissner, Gunter
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 187-197)
.
2008
Persistent link: https://www.econbiz.de/10003918697
Saved in:
17
The market standard model for valuing CDOs, the one-factor Gaussian Copola Model : benefits and limitations
Meissner, Gunter
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 207-222)
.
2008
Persistent link: https://www.econbiz.de/10003918714
Saved in:
18
Practical pricing of synthetic CDOs
Gregory, Jon
;
Laurent, Jean-Paul
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 223-257)
.
2008
Persistent link: https://www.econbiz.de/10003918718
Saved in:
19
Factor models for CDO pricing
Andersen, Leif B. G.
;
Pterbarg, Victor L.
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 259-291)
.
2008
Persistent link: https://www.econbiz.de/10003918721
Saved in:
20
Lévy processes for the valuation of CDO tranches
Moosbrucker, Thomas
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 293-318)
.
2008
Persistent link: https://www.econbiz.de/10003918723
Saved in:
21
Markov models for CDOs
Schlögl, Erik
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 319-340)
.
2008
Persistent link: https://www.econbiz.de/10003918730
Saved in:
22
CDOs² : time for an autopsy?
Whetten, Michiko
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 341-361)
.
2008
Persistent link: https://www.econbiz.de/10003918790
Saved in:
23
Constant proportion dept obligations : an introduction
Hellmich, Martin
;
Kassberger, Stefan
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 363-388)
.
2008
Persistent link: https://www.econbiz.de/10003918794
Saved in:
24
A comparative analysis of CDO pricing models
Burtschell, Xavier
;
Gregory, Jon
;
Laurent, Jean-Paul
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 389-427)
.
2008
Persistent link: https://www.econbiz.de/10003918804
Saved in:
25
CDO valuation : fact and fiction
Jarrow, Robert A.
;
Li, Li
;
Mesler, Mark
;
Deventer, …
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 429-456)
.
2008
Persistent link: https://www.econbiz.de/10003918809
Saved in:
26
Hedging issues for CDOs
Cousin, Areski
;
Laurent, Jean-Paul
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 461-480)
.
2008
Persistent link: https://www.econbiz.de/10003918855
Saved in:
27
Hedging CDOs in the one-factor Gaussian Copula framework
Meissner, Gunter
;
Hector, Richard
;
Rasmussen, Thomas
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 481-499)
.
2008
Persistent link: https://www.econbiz.de/10003918859
Saved in:
28
A comparative analysis of Fitch's, Moody's and Standard & Poor's CDO rating approaches
Meissner, Gunter
;
Garnier, Tim
;
Laute, Tobias
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 507-528)
.
2008
Persistent link: https://www.econbiz.de/10003918873
Saved in:
29
The treatment of CDOs in Basel II
Brodka, Martin
;
Urban, Linda
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 529-552)
.
2008
Persistent link: https://www.econbiz.de/10003918874
Saved in:
30
Counterparty credit risk of CDO tranches under Basel II
Whelan, Niall
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 553-575)
.
2008
Persistent link: https://www.econbiz.de/10003918876
Saved in:
31
Model validation and CDOs : an overview of requirements and methods
Neal, George
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 577-590)
.
2008
Persistent link: https://www.econbiz.de/10003918879
Saved in:
32
CDOs : risks, challenges and market outlook
Rowe, David M.
;
Deretz, Cyril
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 595-629)
.
2008
Persistent link: https://www.econbiz.de/10003918885
Saved in:
33
An empirical analysis of factors driving the swap spread
Asgharian, Hossein
;
Karlsson, Sonnie
- In:
The journal of fixed income
18
(
2008/09
)
2
,
pp. 41-56
Persistent link: https://www.econbiz.de/10003777616
Saved in:
34
An empirical investigation of MBS liquidity risk
Kim, Jinyong
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 39-46
Persistent link: https://www.econbiz.de/10003848035
Saved in:
35
Valuation of residential mortgage-backed securities with proportional hazard model : cumulant expansion approach to pricing RMBS
Ozeki, Takaaki
;
Umezawa, Yuji
;
Yamazaki, Akira
; …
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 62-77
Persistent link: https://www.econbiz.de/10003848043
Saved in:
36
Event of default provisions and the valuation of ABS CDO tranches
Goodman, Laurie Sharon
;
Newman, Daniel
;
Lucas, Douglas J.
; …
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 85-89
Persistent link: https://www.econbiz.de/10003687364
Saved in:
37
On pricing CDOs with Meixner distributions
Nimmanunta, Kridsda
;
Chiarawongse, Anant
;
Tirapat, Sunti
- In:
The journal of fixed income
18
(
2008/09
)
1
,
pp. 86-99
Persistent link: https://www.econbiz.de/10003757719
Saved in:
38
Incorporating the dynamic link between mortgage and treasury markets in pricing and hedging MBS
Bhattacharya, Anand K.
;
Sekhar, Aryasomayajula
; …
- In:
The journal of fixed income
16
(
2006
)
2
,
pp. 39-45
Persistent link: https://www.econbiz.de/10003400066
Saved in:
39
Volatility skew and the valuation of mortgages
Bhattacharjee, Ranjit
;
Badak, Bransislav
;
Russell, Robert A.
- In:
The journal of fixed income
16
(
2006
)
3
,
pp. 39-53
Persistent link: https://www.econbiz.de/10003422025
Saved in:
40
Defaults and losses given default of structured finance securities
Hu, Jian
;
Cantor, Richard
- In:
The journal of fixed income
13
(
2004
)
4
,
pp. 5-24
Persistent link: https://www.econbiz.de/10002029941
Saved in:
41
An ARMs prepayment model : a parsimonious approach
Davis, Sherman
- In:
The journal of fixed income
13
(
2004
)
4
,
pp. 73-79
Persistent link: https://www.econbiz.de/10002030017
Saved in:
42
Implications of stochastic recovery rates in evaluating CDO tranches
Garcia, Tania
;
Maghakian, Arthur
;
Sharma, Sanjay
- In:
The journal of fixed income
14
(
2004
)
3
,
pp. 64-71
Persistent link: https://www.econbiz.de/10002682770
Saved in:
43
Measuring final loss severity of defaulted RMBS
Hu, Jian
- In:
The journal of fixed income
14
(
2004
)
3
,
pp. 82-91
Persistent link: https://www.econbiz.de/10002682816
Saved in:
44
Default rates on structured finance securities
Lucas, Douglas J.
;
Goodman, Laurie Sharon
;
Fabozzi, Frank J.
- In:
The journal of fixed income
14
(
2004
)
2
,
pp. 44-53
Persistent link: https://www.econbiz.de/10002421458
Saved in:
45
CMBS pricing: evidence from modern conduit issues
Harding, John P.
;
Sirmans, Clemon F.
;
Thebpanya, Sansanee
- In:
The journal of fixed income
14
(
2004
)
1
,
pp. 69-87
Persistent link: https://www.econbiz.de/10002155631
Saved in:
46
Does mortgage hedging amplify movements in long-term interest rates?
Perli, Roberto
;
Sack, Brian
- In:
The journal of fixed income
13
(
2003
)
3
,
pp. 7-17
Persistent link: https://www.econbiz.de/10001968317
Saved in:
47
Crashes in bond markets and the hedging of mortgage-backed securities
Krause, Andreas
- In:
The journal of fixed income
13
(
2003
)
3
,
pp. 19-32
Persistent link: https://www.econbiz.de/10001968342
Saved in:
48
CDO and ABS underperformance : a correlation story
Adelson, Mark H.
- In:
The journal of fixed income
13
(
2003
)
3
,
pp. 53-63
Persistent link: https://www.econbiz.de/10001968398
Saved in:
49
Structured finance rating transitions : 1983 - 2002
Hu, Jian
;
Cantor, Richard
- In:
The journal of fixed income
13
(
2003
)
1
,
pp. 7-27
Persistent link: https://www.econbiz.de/10001782458
Saved in:
50
CMBS loan defaults
Corcoran, Patrick J.
;
Iwai, Yuriko
- In:
The journal of fixed income
12
(
2002
)
3
,
pp. 52-59
Persistent link: https://www.econbiz.de/10001763888
Saved in:
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