Bank for International Settlements (BIS)
in Total Papers Downloads
in Total Papers Citations
Collateralised debt obligations, credit risk modelling, rating agencies
CDOs, Collateralized debt obligations, credit risk exposures, pool assets, binominal expansion technique, monte carlo simulation, senior tranche rating
risk management, stress test scenarios, G-10 central banks
complex instruments, ratings, structured finance
ABX, credit risk, subprime mortgages, pricing
Corporate Finance, Monetary Transmission, Risk Management
retention requirements, screening incentives, securitisation, tranching
Securitisation, Retention Requirements, Tranching, Screening Incentives
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7483.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Borrower screening, Retention requirements, Securitisation, Tranching
CDOs, ratings, value-at-risk
banks, stress testing
market liquidity, market-making, fixed income markets
ABX index, mortgage-backed securities, pricing, risk premia
Derivatives, Monetary Policy Transmission, VAR Models
Risk Map, International Banking, Financial Crises, Yen Carry Trade, Funding Risk
Asset management, delegation, industry organisation
Credit default swaps, emerging markets, financial crisis, spillovers
Exchange rates, M&A activity
Basel III, density ratio, global systemically important banks, leverage ratio, macroeconomic impact, risk-shifting
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.844 seconds