An analytical approach for systematic risk sensitivity of structured finance products
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DOI: 10.1007/s11147-013-9089-1
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More about this item
Keywords
Credit derivatives; CDO; Bond; Ratings; Systematic risk; C16; C50; G21; G24;All these keywords.
JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
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