An analytical approach for systematic risk sensitivity of structured finance products

DOI10.1007/S11147-013-9089-1zbMath1285.91124OpenAlexW1975638738MaRDI QIDQ2447506

Arndt Claußen, Daniel Rösch, Sebastian Löhr

Publication date: 25 April 2014

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-013-9089-1

zbMATH Keywords

credit derivativesCDOsystematic riskbondratings

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao
• Computational techniques for basic affine models of portfolio credit risk
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• An Introduction to Credit Risk Modeling

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