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- W345974802 abstract "Abstract This article develops a pricing model for asset-backed securities collateralised debt obligation tranches backed by mortgage collateral (including prime, sub-prime, and other property types) via the Monte Carlo method. It is organized as follows. Section 2 presents a brief historical overview of the sub-prime market. Section 3 provides the core technical description of the scenario generator. After the stochastic model is established in Section 4, the calibration procedure is presented. Section 5 and 6 discuss results and conclusions, respectively." @default.
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- W345974802 date "2012-09-18" @default.
- W345974802 modified "2023-10-16" @default.
- W345974802 title "A Valuation Model for ABS Cdos" @default.
- W345974802 doi "https://doi.org/10.1093/oxfordhb/9780199546787.013.0018" @default.
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