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Advanced Search Results For "COLLATERALIZED debt obligations"

1 - 10 of 7,997 results for
 "COLLATERALIZED debt obligations"
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Application of RQMC for CDO Pricing with Stochastic Correlations under Nonhomogeneous Assumptions.

Publication Type:Academic Journal

Source(s):Complexity. 7/31/2022, p1-8. 8p.

Abstract:In consideration of that the correlation between any two assets of the asset pool is always stochastic in the actual market and that collateralized debt obligation (CDO) pricing models under nonhomogeneous assumptions have no semianalytic solutions, we...

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A General Numerical Algorithm for CDO Pricing Based on Single Factor Copula Framework and Nonhomogeneous Assumptions.

Publication Type:Academic Journal

Source(s):Mathematical Problems in Engineering. 4/23/2022, p1-6. 6p.

Abstract:In view of the fact that different factor Copula models are only applicable to different practical problems in collateralized debt obligations (CDO) market and that there is no semianalytical solution under nonhomogeneous assumptions to CDO pricing mod...

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Self-Fulfilling Fire Sales: Fragility of Collateralized Short-Term Debt Markets.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Jun2021, Vol. 34 Issue 6, p2910-2948. 39p.

Abstract:This paper shows that collateralized short-term debt, although privately optimal for reducing borrowers' risk-taking incentives, can induce fragility (multiple equilibria). Despite sequential-service property being absent in collateralized debt, such a...

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Poisson approximation for locally dependent CDO.

Publication Type:Academic Journal

Source(s):Communications in Statistics: Theory & Methods. 2022, Vol. 51 Issue 7, p2073-2081. 9p.

Abstract:A collateralized debt obligation (CDO) is a type of structured asset-backed security. The assets are pooled together and divided into tranches to be sold to investors. Each tranche has a substantially different credit quality and risk level. Jaio and K...

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Normal approximation for call function of locally dependent random variables.

Publication Type:Academic Journal

Source(s):ScienceAsia. Apr2022, Vol. 48 Issue 2, p240-246. 7p.

Abstract:A mean for the call function of random variable W, E(W-k)+, where k is a positive real number, is useful and important, for instance, in a collateralized debt obligation (CDO) tranche pricing. In previous works, E(W-k)+ is approximated by normal approx...

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Ten Years of Evidence: Was Fraud a Force in the Financial Crisis?

Publication Type:Academic Journal

Source(s):Journal of Economic Literature. Dec2021, Vol. 59 Issue 4, p1293-1321. 29p. 1 Chart, 1 Graph.

Abstract:This article synthesizes the large literature regarding the role of various players in residential mortgage-backed securities (RMBS) securitization at the center of the 2008–09 US housing and financial crisis. Underwriting banks facilitated wide-scale ...

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MEET YOUR FUTURE BANKER.

Publication Type:Periodical

Source(s):Inc.. Winter2021/2022, Vol. 43 Issue 6, p46-53. 8p. 3 Color Photographs, 1 Black and White Photograph.

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Dysfunctional Markets: A Spray of Prey Perspective.

Publication Type:Academic Journal

Source(s):Journal of Economic Issues (Taylor & Francis Ltd). Sep 2021, Vol. 55 Issue 3, p797-819. 23p. 1 Diagram, 4 Charts, 3 Graphs.

Abstract:We revisit the theory of financial crises using a predator-prey metaphor, highlighting the relationship between greed, risk aversion and debt accumulation and aggregating concepts from economics, finance and psychology. We argue that regulations that a...

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Do Political Connections Induce More or Less Opportunistic Financial Reporting? Evidence from Close Elections Involving SEC‐Influential Politicians*.

Publication Type:Academic Journal

Source(s):Contemporary Accounting Research; Jun2021, Vol. 38 Issue 2, p1177-1203, 27p

Abstract:Copyright of Contemporary Accounting Research is the property of Canadian Academic Accounting Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. ...

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FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK.

Publication Type:Academic Journal

Source(s):International Journal of Theoretical & Applied Finance. Jun2021, Vol. 24 Issue 4, p1-25. 25p.

Abstract:A critical aspect in the valuation and risk management of multi-name credit derivatives is the modeling of the dependence among sources of credit risk. The dependence modeling poses difficulties in the pricing of a multi-name credit derivatives, in the...

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