Søren Willemann

Affiliation not provided to SSRN
SCHOLARLY PAPERS

5

DOWNLOADS
Rank 19,091

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Top 19,091

in Total Papers Downloads

2,104

CITATIONS
Rank 24,168

SSRN RANKINGS

Top 24,168

in Total Papers Citations

11

Scholarly Papers (5)

1.

An Evaluation of the Base Correlation Framework for Synthetic Cdos

Number of pages: 25 Posted: 31 Dec 2004
Søren Willemann
affiliation not provided to SSRN
Downloads 1,124 (13,952)
Citation 4

Abstract:

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Credit risk, default correlation, collateralized debt obligation, correlation skew

2.

Calibration of Structural Credit Risk Models: Implied Sensitivities and Liquidity Discounts

Number of pages: 38 Posted: 27 Sep 2004
Søren Willemann
affiliation not provided to SSRN
Downloads 356 (68,574)

Abstract:

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Credit risk, structural models, liquidity discounts

3.
Downloads 333 ( 76,570)
Citation 4

Reforming Housing Finance: Perspectives from Denmark

Journal of Real Estate Research, Vol. 28, No. 2, 2006
Number of pages: 26 Posted: 20 Dec 2006
Mikkel Svenstrup and Søren Willemann
Nordea Markets and affiliation not provided to SSRN
Downloads 180 (143,999)
Citation 4

Abstract:

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buyback option, mortgage-backed security

Reforming Housing Finance - Perspectives from Denmark

Number of pages: 24 Posted: 27 Sep 2004
Mikkel Svenstrup and Søren Willemann
Nordea Markets and affiliation not provided to SSRN
Downloads 153 (166,274)
Citation 4

Abstract:

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Mortgage backed bonds, buyback option, GSE, credit risk

4.

Gse Funding Advantages and Mortgagor Benefits: Answers from Asset Pricing

Number of pages: 24 Posted: 30 Mar 2005
Søren Willemann
affiliation not provided to SSRN
Downloads 118 (201,784)

Abstract:

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government sponsored enterprises, mortgage backed bonds, credit risk

Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models

Number of pages: 29 Posted: 29 Jan 2011
Michael B. Gordy and Søren Willemann
Board of Governors of the Federal Reserve and affiliation not provided to SSRN
Downloads 59 (317,573)
Citation 3

Abstract:

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Credit risk, securitization, structured credit, rating agencies

Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models

FEDS Working Paper No. 2010-05
Number of pages: 29 Posted: 15 Nov 2011
Michael B. Gordy and Søren Willemann
Board of Governors of the Federal Reserve and affiliation not provided to SSRN
Downloads 45 (360,464)
Citation 3

Abstract:

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Credit risk, securitization, structured credit, rating agencies