Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models
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- Michael B. Gordy & Søren Willemann, 2010. "Constant proportion debt obligations: a post-mortem analysis of rating models," Finance and Economics Discussion Series 2010-05, Board of Governors of the Federal Reserve System (US).
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Baghai, Ramin & Becker, Bo, 2016. "Non-rating revenue and conflicts of interest," CEPR Discussion Papers 11508, C.E.P.R. Discussion Papers.
- Agostino Capponi & Martin Larsson, 2014. "Will banning naked CDS impact bond prices?," Annals of Finance, Springer, vol. 10(3), pages 481-508, August.
- Gordy, Michael B. & Szerszen, Pawel J., 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (US).
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Keywordscredit risk; securitization; structured credit; rating agencies; stochastic volatility;
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