Risk Analysis of Collateralized Debt Obligations
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DOI: 10.1287/opre.1100.0864
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References listed on IDEAS
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Cited by:
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- Gouri roux Christian & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
- Gouriéroux, Christian & Monfort, Alain & Mouabbi, Sarah & Renne, Jean-Paul, 2021. "Disastrous Defaults," TSE Working Papers 21-1237, Toulouse School of Economics (TSE).
- Dassios, Angelos & Zhao, Hongbiao, 2017. "Efficient simulation of clustering jumps with CIR intensity," LSE Research Online Documents on Economics 74205, London School of Economics and Political Science, LSE Library.
- Cheng, Chunli & Hilpert, Christian & Miri Lavasani, Aidin & Schaefer, Mick, 2023. "Surrender contagion in life insurance," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1465-1479.
- Azizpour, Shahriar & Giesecke, Kay & Kim, Baeho, 2011. "Premia for correlated default risk," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1340-1357, August.
- Angelos Dassios & Hongbiao Zhao, 2017. "Efficient Simulation of Clustering Jumps with CIR Intensity," Operations Research, INFORMS, vol. 65(6), pages 1494-1515, December.
- Jang, Jiwook & Dassios, Angelos, 2013. "A bivariate shot noise self-exciting process for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 524-532.
- Jiwook Jang & Rosy Oh, 2020. "A Bivariate Compound Dynamic Contagion Process for Cyber Insurance," Papers 2007.04758, arXiv.org.
- Guo, Nan & Wang, Fang & Yang, Jingping, 2017. "Remarks on composite Bernstein copula and its application to credit risk analysis," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 38-48.
- Suguru Yamanaka & Masaaki Sugihara & Hidetoshi Nakagawa, 2012. "Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(1), pages 43-62, March.
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- Suguru Yamanaka, 2019. "Random thinning model with a truncated credit quality vulnerability factor: Application to top-down-type credit risk assessment," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-13, September.
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More about this item
Keywords
correlated default risk; collateralized debt obligation; portfolio credit derivative; actual measure; point process; intensity; resampling; thinning; acceptance/rejection sampling; exact simulation;All these keywords.
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