Matches in SemOpenAlex for { <https://semopenalex.org/work/W4252227535> ?p ?o ?g. }
Showing items 1 to 52 of
52
with 100 items per page.
- W4252227535 endingPage "169" @default.
- W4252227535 startingPage "159" @default.
- W4252227535 abstract "This chapter shows how to adapt the standard market approach for pricing tranches of corporate credit indices to price TABX.HE, the tranches of ABX.HE, both under the Gaussian copula and Levy models. The deterioration in the subprime MBSs is visible in the TABX.HE tranches. Additionally, it shows that when using the prepayment assumptions taken from the remittance reports there is no value of correlation that would recover observed market prices. The proposed approach takes into account the amortization schedule to price TABX. The purpose of the chapter is to adapt the recursive algorithm, to price the TABX tranches by using both the Gaussian copula and the Lévy base correlation methods." @default.
- W4252227535 created "2022-05-12" @default.
- W4252227535 date "2012-01-02" @default.
- W4252227535 modified "2023-09-23" @default.
- W4252227535 title "1‐factor Models for the ABS Correlation Market Pricing TABX Tranches" @default.
- W4252227535 doi "https://doi.org/10.1002/9781119206620.ch19" @default.
- W4252227535 hasPublicationYear "2012" @default.
- W4252227535 type Work @default.
- W4252227535 citedByCount "0" @default.
- W4252227535 crossrefType "other" @default.
- W4252227535 hasConcept C10138342 @default.
- W4252227535 hasConcept C106159729 @default.
- W4252227535 hasConcept C121332964 @default.
- W4252227535 hasConcept C130424004 @default.
- W4252227535 hasConcept C149782125 @default.
- W4252227535 hasConcept C162118730 @default.
- W4252227535 hasConcept C162324750 @default.
- W4252227535 hasConcept C163716315 @default.
- W4252227535 hasConcept C17618745 @default.
- W4252227535 hasConcept C2781271063 @default.
- W4252227535 hasConcept C41008148 @default.
- W4252227535 hasConcept C62520636 @default.
- W4252227535 hasConceptScore W4252227535C10138342 @default.
- W4252227535 hasConceptScore W4252227535C106159729 @default.
- W4252227535 hasConceptScore W4252227535C121332964 @default.
- W4252227535 hasConceptScore W4252227535C130424004 @default.
- W4252227535 hasConceptScore W4252227535C149782125 @default.
- W4252227535 hasConceptScore W4252227535C162118730 @default.
- W4252227535 hasConceptScore W4252227535C162324750 @default.
- W4252227535 hasConceptScore W4252227535C163716315 @default.
- W4252227535 hasConceptScore W4252227535C17618745 @default.
- W4252227535 hasConceptScore W4252227535C2781271063 @default.
- W4252227535 hasConceptScore W4252227535C41008148 @default.
- W4252227535 hasConceptScore W4252227535C62520636 @default.
- W4252227535 hasLocation W42522275351 @default.
- W4252227535 hasOpenAccess W4252227535 @default.
- W4252227535 hasPrimaryLocation W42522275351 @default.
- W4252227535 hasRelatedWork W1540007146 @default.
- W4252227535 hasRelatedWork W1981444257 @default.
- W4252227535 hasRelatedWork W1991903804 @default.
- W4252227535 hasRelatedWork W2035450315 @default.
- W4252227535 hasRelatedWork W2050444435 @default.
- W4252227535 hasRelatedWork W2200394042 @default.
- W4252227535 hasRelatedWork W2518693798 @default.
- W4252227535 hasRelatedWork W2899084033 @default.
- W4252227535 hasRelatedWork W3121925940 @default.
- W4252227535 hasRelatedWork W3122552068 @default.
- W4252227535 isParatext "false" @default.
- W4252227535 isRetracted "false" @default.
- W4252227535 workType "other" @default.