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How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches · Study

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PreprintHow has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches

Martin Scheicher2008

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Preprintgreen2008

How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches

Martin Scheicher

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

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2001The Determinants of Credit Spread Changes 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2008Deciphering the Liquidity and Credit Crunch 2007-08 2008The Financial Turmoil of 2007-?: A Preliminary Assessment and Some Policy Considerations 2002Equity Volatility and Corporate Bond Yields 2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations 2005CDO pricing with factor models: survey and comments 2008Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures

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Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1147094

openalex_workW1566231504

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