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Cdo Rating Methodology: Some Thoughts on Model Risk and its Implications
4 references·2 citing·27 second hop
Cdo Rating Methodology: Some Thoughts on Model Risk and its Implications (2007)Cdo Rating Methodology: Some Thoughts on …The Credit Spread Puzzle (2012)The Credit Spread PuzzleUnderstanding the Risk of Synthetic CDOs (2004)Understanding the Risk of Syn…Credit Derivatives Pricing Models: Models, Pricing and Implementation (2003)Credit Derivatives Pricing Mo…A Comparison of Bond Ratings from Moody's S&P and Fitch IBCA (1999)A Comparison of Bond Ratings …Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants (2010)Project Finance Collateralise…The Systemic Regulation of Credit Rating Agencies and Rated Markets (2009)The Systemic Regulation of Cr…Common risk factors in the returns on stocks and bonds (1993)Explaining the Rate Spread on Corporate Bonds (2001)The Determinants of Credit Spread Changes (2001)The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2011)Bond Prices, Default Probabilities and Risk Premiums (2012)Is the Credit Spread Puzzle a Myth? (2018)Financial Ratios As Predictors of Failure (1966)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Credit Rating Agencies: An Overview (2013)Who Moves Markets in a Sudden Marketwide Crisis? Evidence from 9/11 (2016)Integrated reporting, financial reporting quality and cost of debt (2020)On Default Correlation: A Copula Function Approach (1999)Risk and Valuation of Collateralized Debt Obligations (2001)Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)A New Risk Indicator and Stress Testing Tool (2006)Why Did Holdings of Highly Rated Securitization Tranches Differ So Much across Banks? (2013)Basel III leverage ratio requirement and the probability of bank runs (2014)Innovations in Credit Risk Transfer: Implications for Financial Stability (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)The Economics of Structured Finance (2009)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009)
this work references cited by second hop

References

  • 2003Credit Derivatives Pricing Models: Models, Pricing and Implementation355 cited
  • 2004Understanding the Risk of Synthetic CDOs115 cited
  • 1999A Comparison of Bond Ratings from Moody's S&P and Fitch IBCA102 cited
  • 2012The Credit Spread Puzzle98 cited

Cited by

  • 2010Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants37 cited
  • 2009The Systemic Regulation of Credit Rating Agencies and Rated Markets34 cited

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