Søren Willemann

Affiliation not provided to SSRN
SCHOLARLY PAPERS

5

DOWNLOADS
Rank 19,975

SSRN RANKINGS

Top 19,975

in Total Papers Downloads

2,122

CITATIONS
Rank 23,908

SSRN RANKINGS

Top 23,908

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 (14,603)
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 (72,123)

Abstract:

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Credit risk, structural models, liquidity discounts

3.
Downloads 337 ( 79,341)
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 183 (148,338)
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 154 (172,887)
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 (208,218)

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
Federal Reserve Board and affiliation not provided to SSRN
Downloads 59 (330,978)
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
Federal Reserve Board and affiliation not provided to SSRN
Downloads 46 (371,818)
Citation 3

Abstract:

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Credit risk, securitization, structured credit, rating agencies