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The Basis Risk of Catastrophic-Loss Index Securities [PDF]

open access: yes
This paper analyzes the basis risk of catastrophic-loss (CAT) index derivatives, which securitize losses from catastrophic events such as hurricanes and earthquakes.
David Lalonde   +2 more
core  

Catastrophic risks and the pricing of catastrophe equity put options. [PDF]

open access: yesComput Manag Sci, 2021
Arnone M   +3 more
europepmc   +1 more source

The struggle to establish a vibrant secondary market for community development loans [PDF]

open access: yes
Securitization of loans and their sale to long-term investors has revolutionized many areas of finance: real estate, autos, consumer credit. But despite many efforts, it has not taken hold in community development financing.
David J. Erickson
core  

The pricing of correlated default risk: evidence from the credit derivatives market [PDF]

open access: yes
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS ...
Tarashev, Nikola A., Zhu, Haibin
core  

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