Risk analysis of collateralized debt obligations
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Recommendations
- An empirical study of pricing and hedging collateralized debt obligation (CDO)
- Pricing collateralized debt obligations with Markov-modulated Poisson processes
- Valuation and VaR Computation for CDOs Using Stein’s Method
- A research of default correlation in collateralized debt obligation pricing
- Structured credit portfolio analysis, baskets \& CDOs
Cited in
(14)- Remarks on composite Bernstein copula and its application to credit risk analysis
- A bivariate shot noise self-exciting process for insurance
- Surrender contagion in life insurance
- Risk analysis with contractual default. Does covenant breach matter?
- A random thinning model with a latent factor for improvement of top-down credit risk assessment
- A research of default correlation in collateralized debt obligation pricing
- Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework
- Valuation and VaR Computation for CDOs Using Stein’s Method
- Modeling of contagious credit events and risk analysis of credit portfolios
- Collateralized Borrowing and Default Risk
- Rating frailty, Bayesian updates, and portfolio credit risk analysis*
- Valuation of complex financial instruments for credit risk transfer
- On the diversity score: a copula approach
- An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
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