Houston, TX 77204-6021
University of Houston - C.T. Bauer College of Business
in Total Papers Downloads
in Total Papers Citations
Subprime mortgages, SIVs, monolines, transparency, valuation
credit default swaps, default risk, structural models, jump
credit default swap, no-arbitrage, observable covariates, volatility, leverage, distance-to-default
Business Methods, Financial Innovations, Patents, Licenses, Real Options
Default, Bankruptcy, Recovery Rate, Frailty, Unobservable Heterogeneity
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2991533.
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Primary and Secondary Firms, Gaussian Latent-Factor Model, Expected Loss, Value-At-Risk (VaR), Expected Shortfall (ES)
structured product, collateralized debt obligation, tranche pricing, economic determinants, risk premiums
upper and lower loss, P&L, counterparty risk, structural credit models, reduced-form credit models, mark-to-market exposure
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