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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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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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Reforming housing finance : perspectives from Denmark
Svenstrup, Mikkel; Willemann, Søren - In: The journal of real estate research 28 (2006) 2, pp. 105-129
Persistent link: https://www.econbiz.de/10003338748
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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
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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/10008647170
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Constant proportion debt obligations : a postmortem analysis of rating models
Gordy, Michael B.; Willemann, Søren - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 476-492
Persistent link: https://www.econbiz.de/10009525285
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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/10013130935
Cover Image
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
Cover Image
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