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Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations · Study

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PreprintParameter Uncertainty and the Credit Risk of Collateralized Debt Obligations

Erik A. Heitfield2008

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Preprintgreen2008

Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations

Erik A. Heitfield

42 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Financial Risk and Volatility Modeling finance, banking, and market dynamics

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2010Basel Committee On Banking Supervision 2000On Default Correlation 1986Bayes-Stein Estimation for Portfolio Analysis 2003A risk-factor model foundation for ratings-based bank capital rules 1996Risk 2 : Measuring the Risk in Value at Risk 2005Extensions to the Gaussian copula: random recovery and random factor loadings 2003Dependent defaults in models of portfolio credit risk

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2010Measuring portfolio credit risk correctly: Why parameter uncertainty matters

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Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations42

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1190362

openalex_workW1507144867

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