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Reforming housing finance : perspectives from Denmark
Svenstrup, Mikkel (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001998470
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Reforming housing finance : perspectives from Denmark
Svenstrup, Mikkel; Willemann, Søren - 2004
Persistent link: https://www.econbiz.de/10002131732
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Valuation of path-dependent interest rate derivatives in a finite difference setup
Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746661
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Mortgage choice : the Danish case
Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746709
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On the suboptimality of single-factor exercise strategies for Bermudan swaptions
Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746717
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On the suboptimality of single-factor exercise strategies for Bermudan swaptions
Svenstrup, Mikkel - In: Journal of financial economics 78 (2005) 3, pp. 651-684
Persistent link: https://www.econbiz.de/10003228840
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Constant proportion debt obligations: a post-mortem analysis of rating models
Gordy, Michael B.; Willemann, Søren - Federal Reserve Board (Board of Governors of the … - 2010
In its complexity and its vulnerability to market volatility, the CPDO might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of complex structured products. We demonstrate that...
Persistent link: https://www.econbiz.de/10008498937
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Euro public debt and the markets : sovereign fundamentals and CDS market dynamics
Boone, Laurence; Fransolet, Laurent; Willemann, Søren - In: Financial stability review : FSR 14 (2010), pp. 19-26
Persistent link: https://www.econbiz.de/10009921107
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Constant Proportion Debt Obligations : A Post-Mortem Analysis of Rating Models
Gordy, Michael B. - 2011
In its complexity and its vulnerability to market volatility, the CPDO might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of complex structured products. We demonstrate that...
Persistent link: https://www.econbiz.de/10013118453
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Constant proportion debt obligations : a post-mortem analysis of rating models
Gordy, Michael B.; Willemann, Søren - 2010
Persistent link: https://www.econbiz.de/10003950439