Pricing structured products with economic covariates
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DOI: 10.1016/j.jfineco.2019.08.002
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- Bernd Engelmann & Ha Pham, 2020. "A Raroc Valuation Scheme for Loans and Its Application in Loan Origination," Risks, MDPI, vol. 8(2), pages 1-20, June.
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More about this item
Keywords
Structured product; Collateralized debt obligation; Tranche pricing; Economic determinants; Risk premiums;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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