Søren Willemann

Affiliation not provided to SSRN
SCHOLARLY PAPERS

5

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2,151

CITATIONS
Rank 32,055

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Top 32,055

in Total Papers Citations

17

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 1,209 (16,148)
Citation 6

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 367 (79,920)

Abstract:

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Credit risk, structural models, liquidity discounts

3.
Downloads 341 ( 86,980)
Citation 5

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 187 (160,452)
Citation 1

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 (190,403)
Citation 5

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 123 (227,393)
Citation 1

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 61 (356,551)
Citation 1

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 50 (392,620)
Citation 3

Abstract:

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Credit risk, securitization, structured credit, rating agencies