Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-,...

The thesis intends to lay down innovative foundations for valuing contracts or portfolios of contracts under counterparty risk and in the presence of netting agreements. The approach departs from the usual methods for pricing contracts, and portfolios of contracts, with counterparty risk found...