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Modeling the current loan-to-value structure of mortgage pools without loan-specific data
Palmroos, Peter - In: The journal of credit risk : published quarterly by … 12 (2016) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011645432
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An introduction to pricing correlation products using a pair-wise correlation matrix
Whitehill, Sam - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 97-110
Persistent link: https://www.econbiz.de/10003853302
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Valuing CDOs of bespoke portfolios with implied multi-factor models
Rosen, Dan; Saunders, David M. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 3-36
Persistent link: https://www.econbiz.de/10003903232
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Asset correlation in residential mortgage-backed security reference portfolios
Geidosch, Marco - In: The journal of credit risk : published quarterly by … 10 (2014) 2, pp. 71-95
Persistent link: https://www.econbiz.de/10010385996
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The valuation of correlation-dependent credit derivatives using a structural model
Hull, John; Predescu, Mirela; White, Alan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 3, pp. 99-132
Persistent link: https://www.econbiz.de/10008696412
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Pricing and hedging collateralized loan obligations with implied factor models
Nedeljkovic, Jovan; Rosen, Dan; Saunders, David M. - In: The journal of credit risk : published quarterly by … 6 (2010/11) 3, pp. 53-97
Persistent link: https://www.econbiz.de/10008696417
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An implied multi-factor model for bespoke collateralized debt obligation tranches and other portfolio credit derivatives
Halperin, Igor - In: The journal of credit risk : published quarterly by … 6 (2010/11) 3, pp. 3-52
Persistent link: https://www.econbiz.de/10008696421
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Credit models and the crisis : default cluster dynamics and the generalized Poisson loss model
Brigo, Damiano; Pallavicini, Andrew; Torresetti, Roberto - In: The journal of credit risk : published quarterly by … 6 (2010/11) 4, pp. 39-81
Persistent link: https://www.econbiz.de/10008807737
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The impact on loan-to-value on the default rate of residential mortgage-backed securities
Otero-González, Luis; Durán-Satomil, Pablo; … - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 1-13
Persistent link: https://www.econbiz.de/10011642638
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Modeling joint default in correlation-sensitive instruments
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 15-42
Persistent link: https://www.econbiz.de/10011642666