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Counterparty risk externality : centralized versus over-the-counter markets

Acharya, Viral V.; Bisin, Alberto - In: Journal of economic theory 149 (2014), pp. 153-182

Persistent link: https://www.econbiz.de/10010258382

Credit Ratings of Collateralized Debt Obligations in Microfinance

Yeboah-Smith, Miko - 2023

This thesis focuses on the mechanics of microfinance collateralized debt obligations (MiCDOs) and outlines crucial risk … factors for international investors and microfinance institutions (MFIs), in contrast to already established collateralized … debt obligations (CDO) and their rating systems. Due to the lack of reliable data on the collateral pools, investors are …

Persistent link: https://www.econbiz.de/10014261833

Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10009748723

An equilibrium pricing for OTC derivatives with non-cash collateralisation

Takino, Kazuhiro - In: International journal of financial markets and derivatives 6 (2018) 4, pp. 335-364

Persistent link: https://www.econbiz.de/10011996895

A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

Price impacts of imperfect collateralization

Shiraya, Kenichiro; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011532751

Asset encumbrance and bank risk : theory and first evidence from public disclosures in Europe

Banal-Estañol, Albert; Benito, Enrique; Khametshin, Dmitry - 2021

Persistent link: https://www.econbiz.de/10012793132

Collateralization and asset price bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - In: Journal of banking & finance 128 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012821680

Asset-backed securitization, collateralized loan obligations and credit derivatives

Ward, Warrick; Wolfe, Simon - In: Handbook of international banking, (pp. 60-101). 2003

Persistent link: https://www.econbiz.de/10001741121

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