CDO rating methodology: Some thoughts on model risk and its implications
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- Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
- Pagnoncelli, Bernardo K. & Cifuentes, Arturo, 2014. "Credit risk assessment of fixed income portfolios using explicit expressions," Finance Research Letters, Elsevier, vol. 11(3), pages 224-230.
- Scholz, Julia, 2009. "Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs," Discussion Papers in Business Administration 11002, University of Munich, Munich School of Management.
- Franke, Günter & Herrmann, Markus & Weber, Thomas, 2007. "Information asymmetries and securitization design," CoFE Discussion Papers 07/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Roberto Violi, 2010. "Credit ratings in structured finance and the role of systemic risk," Temi di discussione (Economic working papers) 774, Bank of Italy, Economic Research and International Relations Area.
- Byström, Hans N.E., 2008.
"The Microfinance Collateralized Debt Obligation: A Modern Robin Hood?,"
World Development, Elsevier, vol. 36(11), pages 2109-2126, November.
- Byström, Hans, 2006. "The Microfinance Collateralized Debt Obligation: a Modern Robin Hood?," Working Papers 2006:14, Lund University, Department of Economics, revised 21 Aug 2006.
- Rym Ayadi & Beat Bernet & Simona Bovha-Padilla & Tom Franck & Nancy Huyghebaert & Vitor Gaspar & Reinhilde Veugelers, 2009. "Financing SMEs in Europe," SUERF Studies, SUERF - The European Money and Finance Forum, number 2009/3 edited by Morten Balling & Beat Bernet & Ernest Gnan, May.
- Ingo Fender & Martin Scheicher, 2009.
"The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices,"
Applied Financial Economics, Taylor & Francis Journals, vol. 19(24), pages 1925-1945.
- Ingo Fender & Martin Scheicher, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," BIS Working Papers 279, Bank for International Settlements.
- Mr. John Kiff & Sylwia Nowak & Miss Liliana B Schumacher, 2012. "Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings," IMF Working Papers 2012/023, International Monetary Fund.
- Rosenthal, Dale W.R., 2008. "Approximating correlated defaults," MPRA Paper 36788, University Library of Munich, Germany, revised 15 Feb 2012.
- Ms. Li L Ong & Mr. Jorge A Chan-Lau, 2006. "The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions," IMF Working Papers 2006/139, International Monetary Fund.
- Efraim Benmelech & Jennifer Dlugosz, 2010.
"The Credit Rating Crisis,"
NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 161-207,
National Bureau of Economic Research, Inc.
- Efraim Benmelech & Jennifer Dlugosz, 2009. "The Credit Rating Crisis," NBER Working Papers 15045, National Bureau of Economic Research, Inc.
- Scholz, Julia, 2009. "Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs," Discussion Papers in Business Administration 10999, University of Munich, Munich School of Management.
- Günter Franke, 2013. "Known Unknowns in Verbriefungen," Schmalenbach Journal of Business Research, Springer, vol. 65(67), pages 1-34, January.
- Izabela Pruchnicka-Grabias, 2014. "The Influence Of Confidence Level, Correlation And Volatility On Value At Risk. Six Case Studies," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 10, pages 565-581.
- Morkötter, Stefan & Westerfeld, Simone, 2009. "Rating model arbitrage in CDO markets: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 21-33, March.
- Scheicher, Martin & Fender, Ingo, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Working Paper Series 1056, European Central Bank.
- Roberts, John & Jones, Megan, 2009. "Accounting for self interest in the credit crisis," Accounting, Organizations and Society, Elsevier, vol. 34(6-7), pages 856-867, August.
- Peña Cerezo, Miguel Ángel & Rodríguez Castellanos, Arturo & Ibáñez Hernández, Francisco Jaime, 2015. "Does rating shopping exist in spanish securitization issues?," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
- Ingo Fender & Janet Mitchell, 2005.
"Structured finance: complexity, risk and the use of ratings,"
BIS Quarterly Review, Bank for International Settlements, June.
- Ingo Fender & Janet Mitchell, 2005. "Structured finance : complexity, risk and the use of ratings," Financial Stability Review, National Bank of Belgium, vol. 3(1), pages 127-135, June.
- Scholz, Julia, 2011. "Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs," Discussion Papers in Business Administration 12144, University of Munich, Munich School of Management.
- Valerio Buscaino & Stefano Caselli & Francesco Corielli & Stefano Gatti, 2012. "Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants," European Financial Management, European Financial Management Association, vol. 18(5), pages 950-969, November.
- François-Louis Michaud, 2005. "Gestion d'actifs et dérivés de crédit : opportunités et incertitudes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 79-93.
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Keywords
Collateralised debt obligations; credit risk modelling; rating agencies;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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