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On the Stability of Synthetic CDO Credit Ratings

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  • Javier Zapata
  • Arturo Cifuentes

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  • Javier Zapata & Arturo Cifuentes, 2016. "On the Stability of Synthetic CDO Credit Ratings," International Finance, Wiley Blackwell, vol. 19(2), pages 201-218, June.
    • Handle: RePEc:bla:intfin:v:19:y:2016:i:2:p:201-218
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    File URL: http://hdl.handle.net/10.1111/infi.12086
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    References listed on IDEAS

    as
    1. Glasserman, Paul & Suchintabandid, Sira, 2007. "Correlation expansions for CDO pricing," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1375-1398, May.
    2. Iscoe, Ian & Kreinin, Alexander, 2007. "Valuation of synthetic CDOs," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3357-3376, November.
    3. Bruche, Max & González-Aguado, Carlos, 2010. "Recovery rates, default probabilities, and the credit cycle," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 754-764, April.
    4. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    5. Joshua Coval & Jakub Jurek & Erik Stafford, 2009. "The Economics of Structured Finance," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 3-25, Winter.
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